On the Fourier cosine series expansion method for stochastic control problems (Q2931526)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the Fourier cosine series expansion method for stochastic control problems |
scientific article |
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On the Fourier cosine series expansion method for stochastic control problems (English)
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25 November 2014
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stochastic control problems
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dynamic programming principle
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Fourier cosine expansion method
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error analysis
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extrapolation
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portfolio-selection problem
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