Methodology and Computing in Applied Probability
SCIE-ISI SCOPUS (2004-2023)
1387-5841
1573-7713
Hà Lan
Cơ quản chủ quản: Springer Netherlands , SPRINGER
Lĩnh vực:
Statistics and ProbabilityMathematics (miscellaneous)
Các bài báo tiêu biểu
Numerical Resolution of McKean-Vlasov FBSDEs Using Neural Networks
Tập 24 - Trang 2557-2586 - 2022
We propose several algorithms to solve McKean-Vlasov Forward Backward Stochastic Differential Equations (FBSDEs). Our schemes rely on the approximating power of neural networks to estimate the solution or its gradient through minimization problems. As a consequence, we obtain methods able to tackle both mean-field games and mean-field control problems in moderate dimension. We analyze the numerica...... hiện toàn bộ
Numerical Treatment of Homogeneous Semi-Markov Processes in Transient Case–a Straightforward Approach
Tập 6 Số 2 - Trang 233-246 - 2004
Precise Large Deviations of Random Sums in Presence of Negative Dependence and Consistent Variation
Tập 13 Số 4 - Trang 821-833 - 2011
Multilevel Simulation of Functionals of Bernoulli Random Variables with Application to Basket Credit Derivatives
Tập 17 Số 3 - Trang 579-604 - 2015
Piecewise Linear Approximations for Cure Rate Models and Associated Inferential Issues
Tập 18 Số 4 - Trang 937-966 - 2016
Estimating Second-Order Characteristics of Inhomogeneous Spatio-Temporal Point Processes
Tập 16 Số 2 - Trang 411-431 - 2014
Modeling Zero Inflation in Count Data Time Series with Bounded Support
Tập 20 Số 2 - Trang 589-609 - 2018