Geodesic

Editorial CEMRACS 2017 – Numerical methods for stochastic models: control, uncertainty quantification, mean-field
p. I
Numerical approximations of McKean anticipative backward stochastic differential equations arising in initial margin requirements
p. 1-26
A policy iteration algorithm for nonzero-sum stochastic impulse games
p. 27-45
Regression Monte Carlo for microgrid management
p. 46-67
New particle representations for ergodic McKean-Vlasov SDEs
p. 68-83
Cemracs 2017: numerical probabilistic approach to MFG
p. 84-113
A class of finite-dimensional numerically solvable McKean-Vlasov control problems
p. 114-144
Optimal inventory management and order book modeling
p. 145-181
Stochastic approximation schemes for economic capital and risk margin computations
p. 182-218
Bias behaviour and antithetic sampling in mean-field particle approximations of SDEs nonlinear in the sense of McKean
p. 219-235
A sparse grid approach to balance sheet risk measurement
p. 236-265
Shapley effects for sensitivity analysis with dependent inputs: bootstrap and kriging-based algorithms
p. 266-293
Monte-Carlo methods for the pricing of American options: a semilinear BSDE point of view
p. 294-308x
Numerical approximation of general Lipschitz BSDEs with branching processes
p. 309-329
On the implementation of a primal-dual algorithm for second order time-dependent Mean Field Games with local couplings
p. 330-348
Price of anarchy for Mean Field Games
p. 349-383
Numerical schemes for the aggregation equation with pointy potentials
p. 384-400
Statistical and probabilistic modeling of a cloud of particles coupled with a turbulent fluid
p. 401-424
Free boundary value problems and hjb equations for the stochastic optimal control of elasto-plastic oscillators
p. 425-444
Network of interacting neurons with random synaptic weights
p. 445-475
Some non monotone schemes for Hamilton-Jacobi-Bellman equations
p. 476-497