"Dual control Monte-Carlo method for tight bounds of value function in ..."

Jingtang Ma, Wenyuan Li, Harry Zheng (2017)

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DOI: 10.1016/J.EJOR.2017.04.056

access: closed

type: Journal Article

metadata version: 2022-10-02

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Jingtang Ma, Wenyuan Li, Harry Zheng:
Dual control Monte-Carlo method for tight bounds of value function in regime switching utility maximization. Eur. J. Oper. Res. 262(3): 851-862 (2017)

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