165 citations · 322 across the 37 of their papers we have counts for
3 papers · 1 filter
Monte Carlo methods via a dual approach for some discrete time stochastic control problems
Lajos Gergely Gyurko, Ben Hambly, Jan Hendrik Witte
We consider a class of discrete time stochastic control problems motivated by some financial applications. We use a pathwise stochastic control approach to provide a dual formulati…
Convergence of mixing times for sequences of random walks on finite graphs
David Croydon, Ben Hambly, Takashi Kumagai
We establish conditions on sequences of graphs which ensure that the mixing times of the random walks on the graphs in the sequence converge. The main assumption is that the graphs…
Stochastic evolution equations in portfolio credit modelling with applications to exotic credit products
Nick Bush, Ben M. Hambly, Helen Haworth +2
We consider a structural credit model for a large portfolio of credit risky assets where the correlation is due to a market factor. By considering the large portfolio limit of this…