Forward and backward simulation of Euler scheme
Apparaît également dans la collection : 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.
![$k$-sum free sets in $[0,1]$](/media/cache/video_light/uploads/video/2015-09-10_de_Roton-video--19cf70874d3c5af7378c268cab865b06.jpg)
