A Probabilistic Numerical Method for Optimal Multiple...

SIAM Journal on Financial Mathematics 2014 / 01 Vol. 5; Iss. 1

A Probabilistic Numerical Method for Optimal Multiple Switching Problems in High Dimension

Aïd, René, Campi, Luciano, Langrené, Nicolas, Pham, Huyên
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Volume:
5
Language:
english
Journal:
SIAM Journal on Financial Mathematics
DOI:
10.1137/120897298
Date:
January, 2014
File:
PDF, 795 KB
english, 2014
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