A numerical algorithm for fully nonlinear HJB equations: an approach by control randomization (Q2248052)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A numerical algorithm for fully nonlinear HJB equations: an approach by control randomization |
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A numerical algorithm for fully nonlinear HJB equations: an approach by control randomization (English)
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30 June 2014
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backward stochastic differential equations
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control randomization
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HJB equation
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uncertain volatility
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empirical regressions
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Monte Carlo
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