Del Moral, Pierre; Oudjane, Nadia; Hu, Peng - Université Paris-Dauphine (Paris IX) - 2012
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...