AN OPTIMAL MARKOVIAN QUANTIZATION ALGORITHM FOR MULTI-DIMENSIONAL STOCHASTIC CONTROL PROBLEMS (Q4659534): Difference between revisions

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Revision as of 18:58, 7 June 2024

scientific article; zbMATH DE number 2147874
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English
AN OPTIMAL MARKOVIAN QUANTIZATION ALGORITHM FOR MULTI-DIMENSIONAL STOCHASTIC CONTROL PROBLEMS
scientific article; zbMATH DE number 2147874

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    AN OPTIMAL MARKOVIAN QUANTIZATION ALGORITHM FOR MULTI-DIMENSIONAL STOCHASTIC CONTROL PROBLEMS (English)
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    21 March 2005
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    stochastic differential equations
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    stochastic control
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    finite horizon
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    dynamic programming
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    Bellman equation
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    PDEs with terminal condition
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    numerical methods
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    Markov chains
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    Euler method
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    \(L^p\)-error
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    spatial discretization error
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    optimal grids
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    vector quantization
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    stochastic gradient descent
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    mean-variance hedging
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    Monte Carlo simulation
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