Numerical Approximation by Quantization of Control Problems in Finance Under Partial Observations-Reference-Cited by-同舟云学术

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Numerical Approximation by Quantization of Control Problems in Finance Under Partial Observations

Published:2009 Issue: Volume: Page:325-360
ISSN:1570-8659
Container-title:Special Volume: Mathematical Modeling and Numerical Methods in Finance
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Author:

Pham Huyên,Corsi Marco,Runggaldier Wolfgang J.

Publisher

Elsevier

Reference15 articles.

1. Stochastic Control of Partially Observable Systems;Bensoussan,1992

2. An approximation method for stochastic control problems with partial observation of the state-a method for constructing ε-optimal controls;Bensoussan;Acta. Appl. Math.,1987

3. Dynamic Programming and Stochastic Control;Bertsekas,1992

4. Stochastic Optimal Control: The Discrete-Time Case;Bertsekas,1996

5. Efficient hedging: Cost versus shortfall risk;Föllmer;Financ Stoch,2000

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