Tensor decomposition and high-performance computing for solving high-dimensional stochastic control system numerically
DOI10.1007/s11424-021-0126-0zbMath1485.91249OpenAlexW3129120974MaRDI QIDQ2121191
Publication date: 1 April 2022
Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11424-021-0126-0
tensor decompositionstochastic control systemseparated representationDC pension modelhigh-dimensional HJB equation
Numerical methods (including Monte Carlo methods) (91G60) Optimal stochastic control (93E20) Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65M99) Actuarial mathematics (91G05)
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