Recherche
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MONTE CARLO APPROXIMATIONS OF AMERICAN OPTIONS THAT PRESERVE MONOTONICITY AND CONVEXITY
Communication dans un congrès -
Non-Asymptotic Analysis of Adaptive and Annealed Feynman-Kac Particle Models
(2012-09-25)Document de travail - Pré-publication -
Numerical methods for the exit time of a piecewise-deterministic Markov process
(Advances in Applied Probability. vol. 44, n° 1, pp. pp196-225, 2012)Article de revue -
Numerical method for impulse control of Piecewise Deterministic Markov Processes
(Automatica. vol. 48, pp. pp779-793, 2012)Article de revue -
Optimal stopping for predictive maintenance of a structure subject to corrosion
(Proceedings of the Institution of Mechanical Engineers, Part O: Journal of Risk and Reliability. vol. 226, n° 2, pp. pp169-181, 2012)Article de revue -
Average control of Markov decision processes with Feller transition probabilities and general action spaces
(Australian Journal of Mathematical Analysis and Applications. vol. 396, n° 1, pp. 58-69, 2012)Article de revue -
Feynman-Kac particle integration with geometric interacting jumps
(2012-11-30)Document de travail - Pré-publication -
J.J. Sylvester's two convex sets theorem and G.-L. Lesage's theory of gravity
(Uniform Distribution Theory. vol. 7, n° 1, pp. 135, 2012)Article de revue