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A Dual Algorithm for Stochastic Control Problems: Applications to Uncertain Volatility Models and CVA.
Pierre Henry-Labordère
Christian Litterer
Zhenjie Ren
Published in:
SIAM J. Financial Math. (2016)
Keyphrases
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probabilistic model
learning algorithm
control problems
optimization algorithm
dynamic programming
optimal solution
expectation maximization
monte carlo
search space
particle swarm optimization
optimal control
stochastic processes