On two numerical problems in applied probability : discretization of Stochastic Differential Equations and optimization of an expectation depending on a parameter

DOI10.1051/proc/201444016zbMath1329.65012OpenAlexW2139894954MaRDI 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

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Numerical solutions to stochastic differential and integral equations (65C30)

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