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On Regularity of Primal and Dual Dynamic Value Functions Related to Investment Problems and Their Representations as Backward Stochastic PDE Solutions.
Michael Mania
Revaz Tevzadze
Published in:
SIAM J. Financial Math. (2017)
Keyphrases
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benchmark problems
similar problems
optimal or near optimal
duality gap
decision making
search methods
partial differential equations
stochastic differential equations
evolutionary algorithm
np complete
multiple objectives
partial solutions
forward and backward
lagrangian dual
algorithm for linear programming