Sensitivity Analysis Using Itô--Malliavin Calculus and Martingales, and Application to Stochastic Optimal Control (Q5317090)
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scientific article; zbMATH DE number 2205784
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| English | Sensitivity Analysis Using Itô--Malliavin Calculus and Martingales, and Application to Stochastic Optimal Control |
scientific article; zbMATH DE number 2205784 |
Statements
Sensitivity Analysis Using Itô--Malliavin Calculus and Martingales, and Application to Stochastic Optimal Control (English)
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15 September 2005
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sensitivity analysis
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parameterized control
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Malliavin calculus
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weak approximation
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0.767509400844574
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0.7602524161338806
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0.7528689503669739
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0.7466566562652588
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0.7409884929656982
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