Numerical approximation by quantization of control problems in finance under partial observations
Year of publication: |
2009
|
---|---|
Authors: | Pham, Huyên ; Corsi, Marco ; Runggaldier, Wolfgang J. |
Published in: |
Mathematical modeling and numerical methods in finance : special volume. - Amsterdam [u.a.] : Elsevier, North-Holland, ISBN 978-0-444-51879-8. - 2009, p. 325-360
|
Subject: | Kontrolltheorie | Control theory | Hedging | Unvollkommene Information | Incomplete information | Stochastischer Prozess | Stochastic process | Dynamische Optimierung | Dynamic programming | Theorie | Theory |
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