32 citations · 67 across the 24 of their papers we have counts for
Showing 2011Show all
2 papers · 1 filter
math.PR2011
Time discretization and quantization methods for optimal multiple switching problem
Paul Gassiat, Idris Kharroubi, Huyên Pham
In this paper, we study probabilistic numerical methods based on optimal quantization algorithms for computing the solution to optimal multiple switching problems with regime-depen…
q-fin.PM2011
Investment/consumption problem in illiquid markets with regime-switching
Paul Gassiat, Fausto Gozzi, Huyên Pham
We consider an illiquid financial market with different regimes modeled by a continuous-time finite-state Markov chain. The investor can trade a stock only at the discrete arrival…