Chiheb Ben Hammouda

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Lagrangian Relaxation for Continuous-Time Optimal Control of Coupled Hydrothermal Power Systems Including Storage Capacity and a Cascade of Hydropower Systems with Time Delays (available as arXiv preprint)	N/A	Paper
Filtered Markovian projection: dimensionality reduction in filtering for stochastic reaction networks Statistics and Computing	2026-08-21	Paper
A Damped SWIFT Method for European Option Pricing: Coefficients Decay, Truncation, and Error Analysis (available as arXiv preprint)	2026-07-23	Paper
Lagrangian relaxation for continuous-time optimal control of coupled hydrothermal power systems including storage capacity and a cascade of hydropower systems with time delays Optimal Control Applications & Methods	2024-11-01	Paper
Automated importance sampling via optimal control for stochastic reaction networks: a Markovian projection-based approach Journal of Computational and Applied Mathematics	2024-07-04	Paper
Multilevel Monte Carlo with numerical smoothing for robust and efficient computation of probabilities and densities SIAM Journal on Scientific Computing	2024-05-07	Paper
Learning-based importance sampling via stochastic optimal control for stochastic reaction networks Statistics and Computing	2023-07-20	Paper
Numerical smoothing with hierarchical adaptive sparse grids and quasi-Monte Carlo methods for efficient option pricing Quantitative Finance	2023-06-20	Paper
Numerical smoothing with hierarchical adaptive sparse grids and quasi-Monte Carlo methods for efficient option pricing Quantitative Finance	2023-06-20	Paper
Hierarchical adaptive sparse grids and quasi-Monte Carlo for option pricing under the rough Bergomi model Quantitative Finance	2020-12-07	Paper
Hierarchical adaptive sparse grids and quasi-Monte Carlo for option pricing under the rough Bergomi model Quantitative Finance	2020-12-07	Paper
Importance sampling for a robust and efficient multilevel Monte Carlo estimator for stochastic reaction networks Statistics and Computing	2020-11-04	Paper
Multilevel hybrid split-step implicit tau-leap Numerical Algorithms	2017-02-17	Paper

Research outcomes over time

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