Solving Stochastic Dynamic Programs by Convex Optimization and Simulation

DOI10.1007/978-3-319-08159-5_1MaRDI QIDQ5256549zbMATH OpenOpenAlexFDO

Authors D. Belomestny, Christian Bender, Fabian Dickmann, Nikolaus Schweizer

Publication date 18 June 2015

Published in Extraction of Quantifiable Information from Complex Systems (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-08159-5_1

zbMATH Keywords

confidence intervalsMonte Carlo methodsoptimal stopping problems

Mathematics Subject Classification ID

Dynamic programming (90C39) Stochastic programming (90C15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Discrete-time control/observation systems (93C55)

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Cited in

(11)

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