2 papers
math.PR2025
Unbiased simulation of Asian options
Bruno Bouchard, Xiaolu Tan
We provide an extension of the unbiased simulation method for SDEs developed in Henry-Labordere et al. [Ann Appl Probab. 27:6 (2017) 1-37] to a class of path-dependent dynamics, pe…
math.OC2025
Limit theory for mean-field control problems with common noise adapted controls
Bruno Bouchard, Xiaolu Tan
We consider a mean-field control problem in which admissible controls are required to be adapted to the common noise filtration. The main objective is to show how the mean-field co…