A dual algorithm for stochastic control problems: applications to uncertain volatility models and CVA (Q2808183)
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scientific article; zbMATH DE number 6583483
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| English | A dual algorithm for stochastic control problems: applications to uncertain volatility models and CVA |
scientific article; zbMATH DE number 6583483 |
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20 May 2016
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optimal stochastic control
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duality theory
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numerical methods
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A dual algorithm for stochastic control problems: applications to uncertain volatility models and CVA (English)
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0.7645540833473206
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0.7637726068496704
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0.7544688582420349
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0.7385412454605103
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0.7362104058265686
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