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  • Search: subject:"optimization based model order reduction"
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Asset price model 1 Lévy processes 1 Mathematical programming 1 Mathematische Optimierung 1 Option pricing theory 1 Optionspreistheorie 1 Search theory 1 Stochastic process 1 Stochastischer Prozess 1 Suchtheorie 1 optimization based model order reduction 1 option pricing in high dimensions 1
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English 1
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Redmann, Martin 1
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Applied mathematical finance 1
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Solving high-dimensional optimal stopping problems using optimization based model order reduction
Redmann, Martin - In: Applied mathematical finance 29 (2022) 2, pp. 110-140
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