Stochastic approximation with averaging innovation applied to finance
type: Item
instance of: scholarly article
zbMATH Open document ID: 1300.62059
author: Sophie Laruelle
author: Gilles Pagès
published in: Monte Carlo Methods and Applications
publication date: 2012-05-07T00:00:00Z
full work available at URL: https://arxiv.org/abs/1007.3578
Mathematics Subject Classification ID: 62L20
Mathematics Subject Classification ID: 60G10
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 91G80
zbMATH DE Number: 6031066
zbMATH Keywords: stochastic approximation
zbMATH Keywords: sequence with low discrepancy
zbMATH Keywords: quasi-Monte Carlo
zbMATH Keywords: \(\alpha\)-mixing process
zbMATH Keywords: Gàl-Koksma theorem
zbMATH Keywords: stationary process
zbMATH Keywords: ergodic control
zbMATH Keywords: two-armed bandit algorithm
zbMATH Keywords: calibration
zbMATH Keywords: optimal asset allocation
zbMATH Keywords: value-at-risk
zbMATH Keywords: conditional value-at-risk
MaRDI profile type: Publication
OpenAlex ID: W2072253168
arXiv ID: 1007.3578
DOI: 10.1515/MCMA-2011-0018
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title: Stochastic approximation with averaging innovation applied to finance
description: scientific article; zbMATH DE number 6031066