Accurate Semi-Lagrangian Time Stepping for Stochastic Optimal Control Problems with Application to the Valuation of Natural Gas Storage (Q2873136)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Accurate Semi-Lagrangian Time Stepping for Stochastic Optimal Control Problems with Application to the Valuation of Natural Gas Storage |
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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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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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