Monte Carlo methods via a dual approach for some discrete time stochastic control problems
Lajos Gergely Gyurkó; Ben M. Hambly; Jan Hendrik Witte
| Year of publication: |
2015
|
|---|---|
| Authors: | Gyurkó, Lajos Gergely ; Hambly, Ben M. ; Witte, Jan Hendrik |
| Published in: |
Mathematical methods of operations research. - Berlin : Springer, ISSN 1432-2994, ZDB-ID 1310695-8. - Vol. 81.2015, 1, p. 109-135
|
| Subject: | Stochastic control | Dual formulation | Monte Carlo | Least squares regression | Monte-Carlo-Simulation | Monte Carlo simulation | Stochastischer Prozess | Stochastic process | Kontrolltheorie | Control theory | Schätztheorie | Estimation theory | Optionspreistheorie | Option pricing theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010488925