Skip to main content
Scientific Computing and Machine Learning
SCML
Scientific Computing and Machine Learning
Main navigation
Home
People
Principal Investigators
Research Scientists and Engineers
Postdoctoral Fellows
Students
All Profiles
Events
All Events
Events Calendar
News
Pages
Publications
ISL Publications Repository
Research Output
KAUST Innovation Hub in Shenzhen
Opportunities
Markovian projection
Stochastic Optimal Control with Exercise Rate Optimization and Markovian Projections: Pricing American Options and Importance Sampling Applications
Raul Tempone, Professor, Applied Mathematics and Computational Sciences
Oct 31, 15:30
-
17:00
B5 L5 R5209
sampling
Markovian projection
This talk begins with the problem of pricing American basket options in a multivariate setting. In high dimensions, nonlinear PDE methods for solving the corresponding Hamilton-Jacobi-Bellman (HJB) equation become expensive due to the curse of dimensionality.