A numerical algorithm for fully nonlinear HJB equations: An...

Monte Carlo Methods and Applications 2014 / 01 Vol. 20; Iss. 2

A numerical algorithm for fully nonlinear HJB equations: An approach by control randomization

Kharroubi, Idris, Langrené, Nicolas, Pham, Huyên
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Volume:
20
Language:
english
Journal:
Monte Carlo Methods and Applications
DOI:
10.1515/mcma-2013-0024
Date:
January, 2014
File:
PDF, 887 KB
english, 2014
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