A novel high dimensional fitted scheme for stochastic optimal control problems
Christelle Dleuna Nyoumbi, Antoine Tambue
| Year of publication: |
2023
|
|---|---|
| Authors: | Dleuna Nyoumbi, Christelle ; Tambue, Antoine |
| Subject: | Computational finance | Degenerate parabolic equations | Dynamic programming | Finite volume method | HJB equations | Stochastic optimal control | Kontrolltheorie | Control theory | Stochastischer Prozess | Stochastic process | Dynamische Optimierung | Mathematische Optimierung | Mathematical programming | Portfolio-Management | Portfolio selection |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-021-10197-4 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014228389