A computational method for stochastic optimal control problems in financial mathematics
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Cited in
(15)- On the controllability problem arising in financial mathematics
- On optimal stochastic jumps in multi server queue with impatient customers via stochastic control
- A fitted finite volume method for stochastic optimal control problems in finance
- Nash equilibrium approximation of some class of stochastic differential games: a combined Chebyshev spectral collocation method with policy iteration
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- A semi-analytical approach to linear-quadratic differential games: application in the knowledge stock model
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