StOpt
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Software:44614
swMATH32903MaRDI QIDQ44614FDOQ44614
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Source code repository: https://gitlab.com/stochastic-control/StOpt
Cited In (10)
- Regression Monte Carlo for microgrid management
- A sparse grid approach to balance sheet risk measurement
- Incentives, lockdown, and testing: from Thucydides' analysis to the COVID-19 pandemic
- On conditional cuts for stochastic dual dynamic programming
- SDDP.jl: A Julia Package for Stochastic Dual Dynamic Programming
- Numerical approximation of general Lipschitz BSDEs with branching processes
- Fast multivariate empirical cumulative distribution function with connection to kernel density estimation
- Numerical approximation of BSDEs using local polynomial drivers and branching processes
- Option valuation and hedging using an asymmetric risk function: asymptotic optimality through fully nonlinear partial differential equations
- Fast and Stable Multivariate Kernel Density Estimation by Fast Sum Updating
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