Accurate semi-Lagrangian time stepping for stochastic optimal control problems with application to the valuation of natural gas storage (Q2873136)
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scientific article; zbMATH DE number 6249468
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| 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
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stochastic optimal control
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semi-Lagrangian methods
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splitting methods
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Fourier methods
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storage valuation
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Accurate semi-Lagrangian time stepping for stochastic optimal control problems with application to the valuation of natural gas storage (English)
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