3   Artículos

 
en línea
Omar Kebiri, Lara Neureither and Carsten Hartmann    
We study linear-quadratic stochastic optimal control problems with bilinear state dependence where the underlying stochastic differential equation (SDE) has multiscale features. We show that, in the same way in which the underlying dynamics can be well a... ver más
Revista: Computation    Formato: Electrónico

 
en línea
Guangbao Guo    
This paper gives a review of numerical methods for solving the BSDEs, especially, finite difference methods. For numerical methods of finite difference, we should divide them into three branches. Distributed method (or parallel method) should now become ... ver más
Revista: International Journal of Financial Studies    Formato: Electrónico

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