4 citations · 7 across the 5 of their papers we have counts for
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math.OC2018★ 4 cited
A policy iteration algorithm for nonzero-sum stochastic impulse games
René Aïd, Francisco Bernal, Mohamed Mnif +2
This work presents a novel policy iteration algorithm to tackle nonzero-sum stochastic impulse games arising naturally in many applications. Despite the obvious impact of solving s…
math.NA2018
An implementation of Milstein's method for general bounded diffusions
Francisco Bernal
Despite its generality and powerful convergence properties, Milstein's method for functionals of spatially bounded stochastic differential equations is widely regarded as difficult…