output
20042026
most citedA regression-based Monte Carlo method to solve backward stochastic differential equations

425 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.

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Showing 2009 · math.OCShow all

3 papers · 2 filters

math.OC2009★ 2 cited

Particle Methods For Stochastic Optimal Control Problems

Pierre Carpentier, Guy Cohen, Anes Dallagi

To tackle the difficulties faced by both stochastic dynamic programming and scenario tree methods, we present some variational approach for numerical solution of stochastic optimal…

math.OC2009

Decomposition of large-scale stochastic optimal control problems

Kengy Barty, Pierre Carpentier, Pierre Girardeau

In this paper, we present an Uzawa-based heuristic that is adapted to some type of stochastic optimal control problems. More precisely, we consider dynamical systems that can be di…

math.OC2009

Detection of Gaussian signals via hexagonal sensor networks

Paolo Frasca, Paolo Mason, Benedetto Piccoli

This paper considers a special case of the problem of identifying a static scalar signal, depending on the location, using a planar network of sensors in a distributed fashion. Mot…