Convergence of the embedded mean-variance optimal points with discrete sampling

DOI10.1007/s00211-015-0723-8zbMath1408.65039OpenAlexW1512306938MaRDI QIDQ2634609

Yuying Li, Peter A. I. Forsyth, Duy Minh Dang

Publication date: 17 February 2016

Published in: Numerische Mathematik (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00211-015-0723-8

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Numerical optimization and variational techniques (65K10) Control/observation systems governed by partial differential equations (93C20) Optimal stochastic control (93E20)

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