A numerical algorithm for fully nonlinear HJB equations: an approach by control randomization (Q2248052)
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scientific article; zbMATH DE number 6309950
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| English | A numerical algorithm for fully nonlinear HJB equations: an approach by control randomization |
scientific article; zbMATH DE number 6309950 |
Statements
A numerical algorithm for fully nonlinear HJB equations: an approach by control randomization (English)
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30 June 2014
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backward stochastic differential equations
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control randomization
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HJB equation
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uncertain volatility
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empirical regressions
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Monte Carlo
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0.8822012543678284
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0.7924638390541077
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0.782741904258728
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