Accurate semi-Lagrangian time stepping for stochastic optimal control problems with application to the valuation of natural gas storage (Q2873136)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Accurate semi-Lagrangian time stepping for stochastic optimal control problems with application to the valuation of natural gas storage |
scientific article; zbMATH DE number 6249468
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Accurate semi-Lagrangian time stepping for stochastic optimal control problems with application to the valuation of natural gas storage |
scientific article; zbMATH DE number 6249468 |
Statements
23 January 2014
0 references
stochastic optimal control
0 references
semi-Lagrangian methods
0 references
splitting methods
0 references
Fourier methods
0 references
storage valuation
0 references
Accurate semi-Lagrangian time stepping for stochastic optimal control problems with application to the valuation of natural gas storage (English)
0 references
0.8921107649803162
0 references
0.7751723527908325
0 references
0.7537515163421631
0 references
0.7425734996795654
0 references
0.741759181022644
0 references
