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math.CA2010★ 1 cited
Computing the time-continuous Optimal Mass Transport Problem without Lagrangian techniques
Olivier Besson, Martine Picq, Jérôme Pousin
This work originates from a heart's images tracking which is to generate an apparent continuous motion, observable through intensity variation from one starting image to an ending…
q-fin.CP2010★ 1 cited
Indifference of Defaultable Bonds with Stochastic Intensity models
Regis Houssou, Olivier Besson
The utility-based pricing of defaultable bonds in the case of stochastic intensity models of default risk is discussed. The Hamilton-Jacobi- Bellman (HJB) equations for the value f…