Linear-quadratic control and information relaxations (Q1939706): Difference between revisions

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+Information Relaxations and Duality in Stochastic Dynamic Programs
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+Anticipative LQG Control
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+Q3974813
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+Q4895161
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+A new proof of the discrete-time LQG optimal control theorems
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+Pricing American Options: A Duality Approach
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+Monte Carlo valuation of American options
@@ Property / cites work: Monte Carlo valuation of American options / rank @@
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+Pathwise Stochastic Optimal Control
@@ Property / cites work: Pathwise Stochastic Optimal Control / rank @@
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