68 citations · 231 across the 47 of their papers we have counts for
Showing 2017 · math.PRShow all
2 papers · 2 filters
math.PR2017
Stein approximation for functionals of independent random sequences
Nicolas Privault, Grzegorz Serafin
We derive Stein approximation bounds for functionals of uniform random variables, using chaos expansions and the Clark-Ocone representation formula combined with derivation and fin…
math.PR2017
A recursive algorithm for selling at the ultimate maximum in regime-switching models
Yue Liu, Nicolas Privault
We propose a recursive algorithm for the numerical computation of the optimal value function over the…