Numerical Approximation by Quantization of Control Problems in Finance Under Partial Observations
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Publication:3631192
DOI10.1016/S1570-8659(08)00009-4zbMath1180.91310OpenAlexW115544953MaRDI QIDQ3631192
Marco Corsi, Wolfgang J. Runggaldier, Huyên Pham
Publication date: 5 June 2009
Published in: Special Volume: Mathematical Modeling and Numerical Methods in Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s1570-8659(08)00009-4
Numerical methods (including Monte Carlo methods) (91G60) Filtering in stochastic control theory (93E11) Dynamic programming (90C39) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)
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