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

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Forward and backward simulation of Euler scheme

De Emmanuel Gobet

Apparaît dans les 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.

Informations sur la vidéo

Date de captation 17/08/2017
Date de publication 28/08/2017
Institut CIRM
Licence CC BY NC ND
Langue Anglais
Audience Chercheurs
Réalisateur(s) Guillaume Hennenfent
Format MP4

Données de citation

DOI 10.24350/CIRM.V.19218003
Citer cette vidéo 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

Domaine(s)

Bibliographie

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Codes MSC

Document(s)

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

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