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math.PR2016
Importance sampling for a simple Markovian intensity model using subsolutions
Boualem Djehiche, Henrik Hult, Pierre Nyquist
This paper considers importance sampling for estimation of rare-event probabilities in a specific collection of Markovian jump processes used for e.g. modelling of credit risk. Pre…
math.PR2016
Optimal control and zero-sum stochastic differential game problems of mean-field type
Boualem Djehiche, Said Hamadène
We establish existence of nearly-optimal controls, conditions for existence of an optimal control and a saddle-point for respectively a control problem and zero-sum differential ga…