Pages that link to "Item:Q4711143"
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The following pages link to The Bellman equation for control of the running max of a diffusion and applications to look-back options (Q4711143):
Displaying 5 items.
- An approximation scheme for uncertain minimax optimal control problems (Q1711089) (← links)
- Dynamic programming and error estimates for stochastic control problems with maximum cost (Q2340992) (← links)
- Infinite Horizon Stochastic Optimal Control Problems with Running Maximum Cost (Q4684783) (← links)
- Optimal Tracking Portfolio with a Ratcheting Capital Benchmark (Q5000625) (← links)
- Approximative Policy Iteration for Exit Time Feedback Control Problems Driven by Stochastic Differential Equations using Tensor Train Format (Q5865245) (← links)
