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"A Probabilistic Numerical Method for Optimal Multiple Switching Problems ..."

René Aïd et al. (2014)

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DOI: 10.1137/120897298

access: closed

type: Journal Article

metadata version: 2017-06-08

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René Aïd, Luciano Campi, Nicolas Langrené, Huyên Pham:
A Probabilistic Numerical Method for Optimal Multiple Switching Problems in High Dimension. SIAM J. Financial Math. 5(1): 191-231 (2014)

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