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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…
math.PR2011★ 61 cited
Optimal investment under multiple defaults risk: A BSDE-decomposition approach
Ying Jiao, Idris Kharroubi, Huyên Pham
We study an optimal investment problem under contagion risk in a financial model subject to multiple jumps and defaults. The global market information is formulated as a progressiv…