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20092022
most citedFast and stable multivariate kernel density estimation by fast sum updating

52 citations

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Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.

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Showing 2012 · math.NAShow all

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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…