scientific article

zbMath1185.91006MaRDI QIDQ3550812

Jérôme Lelong

Publication date: 6 April 2010

Full work available at URL: http://pastel.paristech.org/3310/

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

Laplace transformstochastic approximationcentral limit theoremnumerical inversionParisian optionstruncated algorithms

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stochastic programming (90C15) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Stochastic approximation (62L20) Derivative securities (option pricing, hedging, etc.) (91G20)

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Almost sure convergence of randomly truncated stochastic algorithms under verifiable condi\-tions ⋮ Multivariate extensions of expectiles risk measures ⋮ Robust adaptive importance sampling for normal random vectors ⋮ Unconstrained recursive importance sampling

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