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An Efficient DP Algorithm on a Tree-Structure for Finite Horizon Optimal Control Problems
1 references·0 citing·6 second hopsampled
An Efficient DP Algorithm on a Tree-Structure for Finite Horizon Optimal Control Problems (2019)An Efficient DP Algorithm on a Tree-Struc…Controlled Markov Processes and Viscosity Solutions (2005)Controlled Markov Processes a…The Pricing of Options and Corporate Liabilities (1973)Stochastic Differential Equations and Diffusion Processes (1983)Backward Stochastic Differential Equations in Finance (1997)Martingale Methods in Financial Modelling (1997)Brownian Motion and Stochastic Calculus (2007)Mean field games (2007)
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  • 2005Controlled Markov Processes and Viscosity Solutions2,698 cited

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