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A probabilistic numerical method for optimal multiple switching problem and application to investments in electricity generation

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https://hal.archives-ouvertes.fr/hal-01025760
Contributor : Serena Benassù <>
Submitted on : Friday, July 18, 2014 - 2:05:31 PM
Last modification on : Friday, March 27, 2020 - 3:56:44 AM

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  • HAL Id : hal-01025760, version 1

Citation

R. Aid, L. Campi, N. Langrené, H. Pham. A probabilistic numerical method for optimal multiple switching problem and application to investments in electricity generation. SIAM Journal on Financial Mathematics, Society for Industrial and Applied Mathematics 2014, 5 (1), pp.191-231. ⟨hal-01025760⟩

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