preprints:archives

Auteur(s)/Author(s) | Titre/Title | Status |

G. Pagès, A. Sellami | Convergence of multi-dimensional quantized $SDE$'s. | |

H. Luschgy, G. Pagès, B. Wilbertz | Asymptotically optimal quantization schemes for Gaussian processes. | |

A.L. Bronstein, G. Pagès, B. Wilbertz | A quantization tree algorithm: improvements and financial applications for swing options. | |

I. Kharroubi, J. Ma, H. Pham, J. Zhang | Backward SDEs with constrained jumps and Quasi-Variational Inequalities. | To appear in Annals of Probability |

G. Pagès, A. Sagna | Asymptotics of the maximal radius of an $L^r$-optimal sequence of quantizers. | |

A. Cretarola, F. Gozzi, H. Pham, P. Tankov | Optimal consumption policies in illiquid markets. | Finance and Stochastics |

V. Lemaire, G. Pagès | Unconstrained recursive importance sampling. | |

T. Lim, M.-C. Quenez | Utility maximization in incomplete markets with default. | |

O. Bardou N. Frikha, G. Pagès | Computation of VaR and CVaR using stochastic approximations and unconstrained importance sampling. |

/var/www/wikis/mathfipronum/data/pages/preprints/archives.txt · Dernière modification: 2019/12/23 11:02 par pham

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