Snell envelope with small probability criteria
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Publication:1935508
DOI10.1007/S00245-012-9173-1zbMATH Open1256.93121OpenAlexW2040074112MaRDI QIDQ1935508FDOQ1935508
Authors: Pierre Del Moral, Peng Hu, Nadia Oudjane 
Publication date: 18 February 2013
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://hal.inria.fr/inria-00507794v2/file/RR-7360.pdf
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Cites Work
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- A nonasymptotic theorem for unnormalized Feynman-Kac particle models
- The law of the Euler scheme for stochastic differential equations. I: Convergence rate of the distribution function
- The Law of the Euler Scheme for Stochastic Differential Equations: II. Convergence Rate of the Density
- Interaction particle systems for the computation of rare credit portfolio losses
- Genealogical particle analysis of rare events
- Numerical Methods in Finance
- Revisit of stochastic mesh method for pricing American options
- An introduction to particle methods with financial applications
- On the Robustness of the Snell Envelope
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