scientific article

zbMath1141.65322MaRDI QIDQ3505843

Hans P. Geering, Florian Herzog, Helfried Peyrl

Publication date: 11 June 2008

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

convergenceHamilton-Jacobi-Bellman equationstochastic optimal controlportfolio optimizationsuccessive approximation algorithmcontrol of financial systems

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Numerical optimization and variational techniques (65K10) Numerical methods based on nonlinear programming (49M37) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Existence theories for optimal control problems involving partial differential equations (49J20) Existence of optimal solutions to problems involving randomness (49J55)

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Tensor decomposition and high-performance computing for solving high-dimensional stochastic control system numerically ⋮ Solving high-dimensional Hamilton-Jacobi-Bellman PDEs using neural networks: perspectives from the theory of controlled diffusions and measures on path space ⋮ A fitted finite volume method for stochastic optimal control problems in finance ⋮ Filtering method for linear and non-linear stochastic optimal control of partially observable systems II ⋮ Optimal Strategy for Limit Order Book Submissions in High Frequency Trading ⋮ Nonlinear Parabolic Equations Arising in Mathematical Finance ⋮ Stabilization of a class of nonlinear control systems via a neural network scheme with convergence analysis

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