Sur les formules qui donnent les expressions de
We present a class of flexible and tractable static factor models for the term structure of joint default probabilities, the factor copula models. These high-dimensional models remain parsimonious with paircopula constructions, and nest many standard models as special cases. The loss distribution of a portfolio of contingent claims can be exactly and efficiently computed when individual losses are discretely supported on a finite grid. Numerical examples study the key features affecting the loss...
This paper is devoted to the general problem of reconstructing the cost from the observation of trajectories, in a problem of optimal control. It is motivated by the following applied problem, concerning HALE drones: one would like them to decide by themselves for their trajectories, and to behave at least as a good human pilot. This applied question is very similar to the problem of determining what is minimized in human locomotion. These starting points are the reasons for the particular classes...
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