Optimal control of European double barrier basket options.

Ronald H. W. Hoppe Tobias Lipp

Published in: J. Num. Math. (2011)

Keyphrases

optimal control
control problems
dynamic programming
feedback control
risk sensitive
control strategy
reinforcement learning
optimal control problems
class of nonlinear systems
infinite horizon
brownian motion
linear quadratic
control law
lyapunov function
dynamical systems
state space
evolutionary algorithm