Sensitivity Analysis Using Itô--Malliavin Calculus and...

SIAM Journal on Control and Optimization 2005 / 01 Vol. 43; Iss. 5

Sensitivity Analysis Using Itô--Malliavin Calculus and Martingales, and Application to Stochastic Optimal Control

Gobet, Emmanuel, Munos, Remi
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Volume:
43
Language:
english
Journal:
SIAM Journal on Control and Optimization
DOI:
10.1137/s0363012902419059
Date:
January, 2005
File:
PDF, 1.34 MB
english, 2005
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