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20122026
most citedDeep neural networks algorithms for stochastic control problems on finite horizon: convergence analysis

97 citations

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math.NA2012★ 39 cited

A probabilistic numerical method for optimal multiple switching problem and application to investments in electricity generation

René Aïd, Luciano Campi, Nicolas Langrené +1

In this paper, we present a probabilistic numerical algorithm combining dynamic programming, Monte Carlo simulations and local basis regressions to solve non-stationary optimal mul…