Pages that link to "Item:Q2264108"
From MaRDI portal
The following pages link to Monte Carlo methods via a dual approach for some discrete time stochastic control problems (Q2264108):
Displaying 11 items.
- Dual control Monte-Carlo method for tight bounds of value function in regime switching utility maximization (Q1683121) (← links)
- Relationship between least squares Monte Carlo and approximate linear programming (Q1728294) (← links)
- Comparison of least squares Monte Carlo methods with applications to energy real options (Q1752185) (← links)
- Optimal oil production and the world supply of oil (Q1994257) (← links)
- Reinforced optimal control (Q2103076) (← links)
- Dual control Monte-Carlo method for tight bounds of value function under Heston stochastic volatility model (Q2273896) (← links)
- Stochastic iterative dynamic programming: a Monte Carlo approach to dual control (Q2576079) (← links)
- A dual algorithm for stochastic control problems: applications to uncertain volatility models and CVA (Q2808183) (← links)
- Accurate semi-Lagrangian time stepping for stochastic optimal control problems with application to the valuation of natural gas storage (Q2873136) (← links)
- A Quasi-Monte Carlo Method for Optimal Control Under Uncertainty (Q5858429) (← links)
- Optimal liquidation through a limit order book: a neural network and simulation approach (Q6164829) (← links)