Dynamic programming and error estimates for stochastic control problems with maximum cost (Q2340992)
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scientific article; zbMATH DE number 6428315
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| English | Dynamic programming and error estimates for stochastic control problems with maximum cost |
scientific article; zbMATH DE number 6428315 |
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Dynamic programming and error estimates for stochastic control problems with maximum cost (English)
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21 April 2015
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dynamic programming
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stochastic optimal control
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Hamilton-Jacobi equations
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error estimates
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reachable sets
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oblique Neuman boundary condition
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lookback options
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maximum cost
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0.8489887118339539
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0.7831100821495056
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0.7808762192726135
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0.7780266404151917
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