Snell envelope with small probability criteria
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Recommendations
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Cites work
- scientific article; zbMATH DE number 2106098 (Why is no real title available?)
- A nonasymptotic theorem for unnormalized Feynman-Kac particle models
- An introduction to particle methods with financial applications
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- Interaction particle systems for the computation of rare credit portfolio losses
- Numerical Methods in Finance
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- Revisit of stochastic mesh method for pricing American options
- The Law of the Euler Scheme for Stochastic Differential Equations: II. Convergence Rate of the Density
- The law of the Euler scheme for stochastic differential equations. I: Convergence rate of the distribution function
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