Snell envelope with small probability criteria (Q1935508): Difference between revisions

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+W2040074112
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+The law of the Euler scheme for stochastic differential equations. I: Convergence rate of the distribution function
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+The Law of the Euler Scheme for Stochastic Differential Equations: II. Convergence Rate of the Density
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+Interaction particle systems for the computation of rare credit portfolio losses
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+Numerical Methods in Finance
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+An Introduction to Particle Methods with Financial Applications
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+A nonasymptotic theorem for unnormalized Feynman-Kac particle models
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+Genealogical particle analysis of rare events
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+On the Robustness of the Snell Envelope
@@ Property / cites work: On the Robustness of the Snell Envelope / rank @@
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+Revisit of stochastic mesh method for pricing American options
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