Consigli, Giorgio; Iaquinta, Gaetano; Moriggia, Vittorio - In: Quantitative Finance 12 (2012) 8, pp. 1265-1281
The formulation of dynamic stochastic programmes for financial applications generally requires the definition of a risk--reward objective function and a financial stochastic model to represent the uncertainty underlying the decision problem. The solution of the optimization problem and the...