Consistency issues for numerical methods for variance control, with applications to optimization in finance (Q4506991)
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scientific article; zbMATH DE number 1518511
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Consistency issues for numerical methods for variance control, with applications to optimization in finance |
scientific article; zbMATH DE number 1518511 |
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Consistency issues for numerical methods for variance control, with applications to optimization in finance (English)
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17 October 2000
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stochastic optimal control
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variance control
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numerical algorithms
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optimal control of diffusion-type processes
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Markov chain approximation
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