Section: New Results

Snell enveloppe with small probability criteria

We present in [33] a new algorithm to compute the Snell envelope in the specific case where the criteria to optimize is associated with a small probability or a rare event. This new approach combines the Stochastic Mesh approach of Broadie and Glasserman with a particle approximation scheme based on a specific change of measure designed to concentrate the computational effort in regions pointed out by the criteria. The theoretical analysis of this new algo- rithm provides non asymptotic convergence estimates. Finally, the numerical tests confirm the practical interest of this approach.