On the Fourier cosine series expansion method for stochastic control problems
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Publication:2931526
DOI10.1002/nla.1866zbMath1313.49037OpenAlexW2117378024MaRDI QIDQ2931526
M. J. Ruijter, R. F. T. Aalbers, Cornelis W. Oosterlee
Publication date: 25 November 2014
Published in: Numerical Linear Algebra with Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/nla.1866
error analysisextrapolationFourier cosine expansion methodstochastic control problemsdynamic programming principleportfolio-selection problem
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