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A fast preconditioned policy iteration method for solving the tempered fractional HJB equation governing American options valuation.

Xu ChenWenfei WangDeng DingSiu-Long Lei
Published in: Comput. Math. Appl. (2017)
Keyphrases
  • neural network
  • machine learning
  • dynamic programming
  • mathematical model
  • cost function
  • model free
  • objective function
  • optimal control