Discussion of dynamic programming and linear programming approaches to stochastic control and optimal stopping in continuous time (Q2441319)

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Discussion of dynamic programming and linear programming approaches to stochastic control and optimal stopping in continuous time
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    Discussion of dynamic programming and linear programming approaches to stochastic control and optimal stopping in continuous time (English)
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    24 March 2014
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    stochastic control
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    optimal stopping
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    dynamic programming
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    linear programming
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    HJB equation
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