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Snell envelope with small probability criteria

Pierre del Moral 1, 2 Peng Hu 2 Nadia Oudjane 3, 4
2 ALEA - Advanced Learning Evolutionary Algorithms
Inria Bordeaux - Sud-Ouest, UB - Université de Bordeaux, CNRS - Centre National de la Recherche Scientifique : UMR5251
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https://hal.inria.fr/hal-00758905
Contributor : Pierre del Moral <>
Submitted on : Thursday, November 29, 2012 - 3:26:36 PM
Last modification on : Wednesday, April 28, 2021 - 10:00:50 PM

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  • HAL Id : hal-00758905, version 1

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Pierre del Moral, Peng Hu, Nadia Oudjane. Snell envelope with small probability criteria. Applied Mathematics and Optimization, Springer Verlag (Germany), 2012, 66 (3), pp.309-330. ⟨hal-00758905⟩

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