A numerical method for solving stochastic optimal control problems with linear control
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Publication:429545
DOI10.1007/s10614-011-9263-1zbMath1242.91202OpenAlexW2135856477MaRDI QIDQ429545
Christian-Oliver Ewald, Walailuck Chavanasporn
Publication date: 19 June 2012
Published in: Computational Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10614-011-9263-1
Numerical methods (including Monte Carlo methods) (91G60) Optimal stochastic control (93E20) Computational methods for problems pertaining to game theory, economics, and finance (91-08)
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