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A Probabilistic Method for a Class of Non-Lipschitz BSDEs with Application to Fund Management.

Jinhui HanSheung Chi Phillip Yam
Published in: SIAM J. Control. Optim. (2022)
Keyphrases
  • error rate
  • pairwise
  • cost function
  • probabilistic model
  • model selection
  • parameter estimation
  • mathematical model