Numerical methods in financial and actuarial applications : a stochastic maximum principle approach
Year of publication: |
May 2018
|
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Authors: | Di Giacinto, Marina |
Published in: |
Journal of mathematical finance. - [S.l.] : Scientific Research, ISSN 2162-2434, ZDB-ID 2657377-5. - Vol. 8.2018, 2, p. 283-301
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Subject: | Least Square Method | Stochastic Optimal Control | Stochastic Maximum Principle | Backward Stochastic Differential Equation | Portfolio Choice | Experiment | Stochastischer Prozess | Stochastic process | Kontrolltheorie | Control theory | Portfolio-Management | Portfolio selection | Analysis | Mathematical analysis | Numerisches Verfahren | Numerical analysis |
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