A numerical algorithm for fully nonlinear HJB equations: an approach by control randomization
Year of publication: |
2013-11-18
|
---|---|
Authors: | Kharroubi, Idris ; Langrené, Nicolas ; Pham, Huyên |
Institutions: | HAL |
Subject: | Backward stochastic differential equations | control randomization | HJB equation | uncertain volatility | empirical regressions | Monte-Carlo |
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