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20152026
most citedHierarchical adaptive sparse grids and quasi Monte Carlo for option pricing under the rough Bergomi model

17 citations · 48 across the 14 of their papers we have counts for

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Showing 2023Show all

2 papers · 1 filter

math.OC2023★ 1 cited

Lagrangian Relaxation for Continuous-Time Optimal Control of Coupled Hydrothermal Power Systems Including Storage Capacity and a Cascade of Hydropower Systems with Time Delays

Chiheb Ben Hammouda, Eliza Rezvanova, Erik von Schwerin +1

This work considers a short-term, continuous time setting characterized by a coupled power supply system controlled exclusively by a single provider and comprising a cascade of hyd…

math.NA2023★ 2 cited

Automated Importance Sampling via Optimal Control for Stochastic Reaction Networks: A Markovian Projection-based Approach

Chiheb Ben Hammouda, Nadhir Ben Rached, Raúl Tempone +1

We propose a novel alternative approach to our previous work (Ben Hammouda et al., 2023) to improve the efficiency of Monte Carlo (MC) estimators for rare event probabilities for s…