Monte Carlo methods via a dual approach for some discrete time stochastic control problems
Year of publication: |
2015
|
---|---|
Authors: | Gyurkó, Lajos Gergely ; Hambly, Ben M. ; Witte, Jan Hendrik |
Published in: |
Mathematical methods of operations research. - Berlin : Springer, ISSN 1432-2994, ZDB-ID 1310695-8. - Vol. 81.2015, 1, p. 109-135
|
Subject: | Stochastic control | Dual formulation | Monte Carlo | Least squares regression | Monte-Carlo-Simulation | Monte Carlo simulation | Stochastischer Prozess | Stochastic process | Kontrolltheorie | Control theory |
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