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Performance Bounds for Lambda Policy Iteration and Application to the Game of...
International audience -
Forward-Backward Stochastic Differential Equations and Controlled McKean Vlas...
The purpose of this paper is to provide a detailed probabilistic analysis of the optimal control of nonlinear stochastic dynamical systems of the McKean Vlasov type.... -
Solvability and numerical simulation of BSDEs related to BSPDEs with applicat...
International audience -
Study of two stochastic optimization problems : American put option in a disc...
Redaction : Novembre 2012
