output
20122022
most citedOn the Optimal Stopping of a One-dimensional Diffusion

38 citations

researchers with a paper here

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

collaborating institutions
Showing 2015 · math.PRShow all

3 papers · 2 filters

math.PR2015★ 2 cited

Coupling Importance Sampling and Multilevel Monte Carlo using Sample Average Approximation

Ahmed Kebaier, Jérôme Lelong

In this work, we propose a smart idea to couple importance sampling and Multilevel Monte Carlo (MLMC). We advocate a per level approach with as many importance sampling parameters…

math.PR2015

Simulation of BSDEs with jumps by Wiener Chaos Expansion

Christel Geiss, Céline Labart

We present an algorithm to solve BSDEs with jumps based on Wiener Chaos Expansion and Picard's iterations. This paper extends the results given in Briand-Labart (2014) to the case…

math.PR2015

Reflected scheme for doubly reflected BSDEs with jumps and RCLL obstacles

Roxana Dumitrescu, Céline Labart

We introduce a discrete time reflected scheme to solve doubly reflected Backward Stochastic Differential Equations with jumps (in short DRBSDEs), driven by a Brownian motion and an…