Snell Envelope with Small Probability Criteria
نویسندگان
چکیده
منابع مشابه
Snell envelope with small probability criteria
We present a new algorithm to compute the Snell envelope in the specific case where the criteria to optimize is associated with a small probability or a rare event. This new approach combines the Stochastic Mesh approach of Broadie and Glasserman with a particle approximation scheme based on a specific change of measure designed to concentrate the computational effort in regions pointed out by ...
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ژورنال
عنوان ژورنال: Applied Mathematics & Optimization
سال: 2012
ISSN: 0095-4616,1432-0606
DOI: 10.1007/s00245-012-9173-1