Time discretization and quantization methods for optimal multiple switching problem
DOI10.1016/j.spa.2012.02.008zbMath1245.65008arXiv1109.5256OpenAlexW2008997528MaRDI QIDQ424519
Paul Gassiat, Huyên Pham, Idris Kharroubi
Publication date: 1 June 2012
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1109.5256
Markov chainsoptimal switchingdiscrete-time approximationnumerical probabilityquantization of random variables
Optimal stochastic control (93E20) Mesh generation, refinement, and adaptive methods for boundary value problems involving PDEs (65N50) Numerical solutions to stochastic differential and integral equations (65C30)
Related Items (3)
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