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Accurate Semi-Lagrangian Time Stepping for Stochastic Optimal Control Problems with Application to the Valuation of Natural Gas Storage.

Antony Ware
Published in: SIAM J. Financial Math. (2013)
Keyphrases
  • optimal control problems
  • optimal control
  • natural gas
  • long term
  • real option
  • objective function
  • evolutionary algorithm
  • supply chain
  • monte carlo