A Dual Algorithm for Stochastic Control Problems: Applications to Uncertain Volatility Models and CVA (Q2808183)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Dual Algorithm for Stochastic Control Problems: Applications to Uncertain Volatility Models and CVA |
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A Dual Algorithm for Stochastic Control Problems: Applications to Uncertain Volatility Models and CVA (English)
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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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