On two numerical problems in applied probability : discretization of Stochastic Differential Equations and optimization of an expectation depending on a parameter
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Publication:3451723
DOI10.1051/proc/201444016zbMath1329.65012MaRDI QIDQ3451723
Victor Reutenauer, Sophie Laruelle, Benjamin Jourdain, Sebastian Niklitschek-Soto, Aurélien Alfonsi
Publication date: 17 November 2015
Published in: ESAIM: Proceedings (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1051/proc/201444016
91G80: Financial applications of other theories
65C30: Numerical solutions to stochastic differential and integral equations
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