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Emmanuel Gobet : Forward and backward simulation of Euler scheme
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Abstract: 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.
Recording during the CEMRACS 2017 "Numerical Methods for Stochastic Models: Control, Uncertainty Quantification, Mean-field " the August 17, 2017 at the Centre International de Rencontres Mathématiques (Marseille, France)
Filmmaker: Guillaume Hennenfent
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Recording during the CEMRACS 2017 "Numerical Methods for Stochastic Models: Control, Uncertainty Quantification, Mean-field " the August 17, 2017 at the Centre International de Rencontres Mathématiques (Marseille, France)
Filmmaker: Guillaume Hennenfent
- Chapter markers and keywords to watch the parts of your choice in the video
- Videos enriched with abstracts, bibliographies, Mathematics Subject Classification
- Multi-criteria search by author, title, tags, mathematical area
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