JS2007.FREE.FR

Solutions of two problems of the book Oh, les Nombres ! (Wonders Of Numbers) (in french) ;... Jean-Sébastien Roy, K. Barty and C. Strugarek) proposed in 2004 a stochastic gradient algorithm in Hilbert spaces that is implementable. It has been tested with success on a few small closed loop problems and the approach extended to stochastic dynamic programming problems. Finally it has been applied to option pricing with the help of P. Girardeau, during his intership at EDF R&D... Hilbert-valued Perturbed Subgradient Algorithms (2005-2006), with K. Barty and C. Strugarek, to appear in Mathematics of Operations Research.