Forward and backward simulation of Euler scheme | Vidéo | Carmin.tv

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Forward and backward simulation of Euler scheme

By Emmanuel Gobet

Appears in collections : Exposés de recherche, CEMRACS - Summer school: Numerical methods for stochastic models: control, uncertainty quantification, mean-field / CEMRACS - École d'été : Méthodes numériques pour équations stochastiques : contrôle, incertitude, champ moyen

We analyse how reverting Random Number Generator can be efficiently used to save memory in solving dynamic programming equation. For SDEs, it takes the form of forward and backward Euler scheme. Surprisingly the error induced by time reversion is of order 1.

Information about the video

Date of recording 17/08/2017
Date of publication 28/08/2017
Institution CIRM
Licence CC BY NC ND
Language English
Audience Researchers
Director(s) Guillaume Hennenfent
Format MP4

Citation data

DOI 10.24350/CIRM.V.19218003
Cite this video Gobet, Emmanuel (17/08/2017). Forward and backward simulation of Euler scheme. CIRM. Audiovisual resource. DOI: 10.24350/CIRM.V.19218003
URL https://dx.doi.org/10.24350/CIRM.V.19218003

Domain(s)

Bibliography

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MSC codes

Document(s)

http://www.lpma-paris.fr/pageperso/benezet/CEMRACS2017/Gobet.pdf

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