Solving Stochastic Dynamic Programs by Convex Optimization and Simulation

DOI10.1007/978-3-319-08159-5_1zbMath1354.90081OpenAlexW1518974MaRDI QIDQ5256549

Denis Belomestny, Nikolaus Schweizer, Christian Bender, Fabian Dickmann

Publication date: 18 June 2015

Published in: Extraction of Quantifiable Information from Complex Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-08159-5_1

zbMATH Keywords

confidence intervalsMonte Carlo methodsoptimal stopping problems

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic programming (90C15) Discrete-time control/observation systems (93C55) Dynamic programming (90C39)

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