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Sensitivity Analysis Using It[o-circumflex]--Malliavin Calculus and Martingales, and Application to Stochastic Optimal Control.

Emmanuel GobetRémi Munos
Published in: SIAM J. Control. Optim. (2005)
Keyphrases
  • sensitivity analysis
  • managerial insights
  • variational inequalities
  • influence diagrams
  • database
  • linear programming
  • decision support
  • application specific