Optimal Momentum Hedging via Hypoelliptic Reduced Monge--Amp[e-grave]re PDE.

Srdjan Stojanovic

Published in: SIAM J. Control. Optim. (2004)

Keyphrases

partial differential equations
optimal solution
optimal control
data structure
worst case
optimal strategy
optimal stopping
real time
numerical algorithms
stock exchange
exchange rate
learning rate
anisotropic diffusion
level set
dynamic programming
reinforcement learning
decision making
feature selection