An Introduction to Particle Methods with Financial Applications
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Publication:2917424
DOI10.1007/978-3-642-25746-9_1zbMath1248.91096OpenAlexW1484090134WikidataQ56093102 ScholiaQ56093102MaRDI QIDQ2917424
Pierre Del Moral, Peng Hu, Nadia Oudjane, René A. Carmona
Publication date: 28 September 2012
Published in: Springer Proceedings in Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-642-25746-9_1
Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic particle methods (65C35)
Related Items (4)
Snell envelope with small probability criteria ⋮ Discrete-type approximations for non-Markovian optimal stopping problems: Part I ⋮ An empirical distribution of the number of subsets in the core partitions of hedonic games ⋮ A duality formula for Feynman-Kac path particle models
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