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Constantinos Makassikis, Stéphane Vialle, Xavier Warin

Public reference bibliography and cataloged PDF materials authored or published by Constantinos Makassikis, Stéphane Vialle, Xavier Warin.

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Large Scale Distribution of Stochastic Control Algorithms for Financial Applications

Year: 2008 • Source: hal.science • Listed PDF

This paper introduces the distribution of a stochastic control algorithm which is applied to gas storage valuation, and presents its experimental performances on two PC clusters and an IBM Blue Gene/L supercomputer. This...