Stochastic approximation with averaging innovation applied to finance (Q2882550)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Stochastic approximation with averaging innovation applied to finance |
scientific article; zbMATH DE number 6031066
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stochastic approximation with averaging innovation applied to finance |
scientific article; zbMATH DE number 6031066 |
Statements
7 May 2012
0 references
stochastic approximation
0 references
sequence with low discrepancy
0 references
quasi-Monte Carlo
0 references
\(\alpha\)-mixing process
0 references
Gàl-Koksma theorem
0 references
stationary process
0 references
ergodic control
0 references
two-armed bandit algorithm
0 references
calibration
0 references
optimal asset allocation
0 references
value-at-risk
0 references
conditional value-at-risk
0 references
0.8747527
0 references
0.8714881
0 references
0.8708742
0 references
Stochastic approximation with averaging innovation applied to finance (English)
0 references
