Empirical variance minimization with applications in variance reduction and optimal control

Empirical variance minimization with applications in variance reduction and optimal control. Belomestny, D., Iosipoi, L., Paris, Q., & Zhivotovskiy, N. Bernoulli, 28(2):1382–1407, 2022. Q1 quartile

Paper doi bibtex 3 downloads

@article {MR4388942,
    AUTHOR = {Belomestny, Denis and Iosipoi, Leonid and Paris, Quentin and
              Zhivotovskiy, Nikita},
     TITLE = {Empirical variance minimization with applications in variance
              reduction and optimal control},
   JOURNAL = {Bernoulli},
  FJOURNAL = {Bernoulli. Official Journal of the Bernoulli Society for
              Mathematical Statistics and Probability},
    VOLUME = {28},
      YEAR = {2022},
    NUMBER = {2},
     PAGES = {1382--1407},
      ISSN = {1350-7265},
   MRCLASS = {65C20 (65K10 90C25 90C48)},
  MRNUMBER = {4388942},
       DOI = {10.3150/21-bej1392},
       URL = {https://doi.org/10.3150/21-bej1392},
       note={ Q1 quartile}
}

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