Information Relaxations and Duality in Stochastic Dynamic Programs
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Publication:3098274
DOI10.1287/opre.1090.0796zbMath1228.90062OpenAlexW2151786492MaRDI QIDQ3098274
Peng Sun, David B. Brown, James E. Smith
Publication date: 17 November 2011
Published in: Operations Research (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10161/4435
Stochastic programming (90C15) Dynamic programming (90C39) Derivative securities (option pricing, hedging, etc.) (91G20)
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