Regression methods for stochastic control problems and their convergence analysis. Belomestny, D., Kolodko, A., & Schoenmakers, J. SIAM J. Control Optim., 48(5):3562–3588, 2009/10.
Paper doi bibtex 1 download @article {MR2599931,
AUTHOR = {Belomestny, Denis and Kolodko, Anastasia and Schoenmakers,
John},
TITLE = {Regression methods for stochastic control problems and their
convergence analysis},
JOURNAL = {SIAM J. Control Optim.},
FJOURNAL = {SIAM Journal on Control and Optimization},
VOLUME = {48},
YEAR = {2009/10},
NUMBER = {5},
PAGES = {3562--3588},
ISSN = {0363-0129},
MRCLASS = {60G40 (49K45 49M30 65C05 90C40 93E20)},
MRNUMBER = {2599931},
MRREVIEWER = {Aleksey B. Piunovski\u{\i}},
DOI = {10.1137/090752651},
URL = {https://doi.org/10.1137/090752651},
}
Downloads: 1
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