Stochastic approximation with averaging innovation applied to finance (Q2882550)
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scientific article; zbMATH DE number 6031066
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| default for all languages | No label defined |
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| English | Stochastic approximation with averaging innovation applied to finance |
scientific article; zbMATH DE number 6031066 |
Statements
7 May 2012
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stochastic approximation
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sequence with low discrepancy
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quasi-Monte Carlo
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\(\alpha\)-mixing process
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Gàl-Koksma theorem
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stationary process
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ergodic control
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two-armed bandit algorithm
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calibration
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optimal asset allocation
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value-at-risk
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conditional value-at-risk
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0.88517237
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0.8747527
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0.8714881
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0.8708742
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0.87064016
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0.8697106
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Stochastic approximation with averaging innovation applied to finance (English)
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