Pathwise Dynamic Programming
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Publication:5219679
DOI10.1287/moor.2017.0891zbMath1446.90159OpenAlexW2758153130MaRDI QIDQ5219679
Nikolaus Schweizer, Christian Bender, Christian Gärtner
Publication date: 12 March 2020
Published in: Mathematics of Operations Research (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/8b1363625fd8b441999ee5cc0a322f041778173c
Monte Carlo methods (65C05) Optimality conditions and duality in mathematical programming (90C46) Dynamic programming (90C39)
Related Items (3)
Overcoming the curse of dimensionality in the numerical approximation of backward stochastic differential equations ⋮ ``Regression anytime with brute-force SVD truncation ⋮ A class of finite-dimensional numerically solvable McKean-Vlasov control problems
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