Optimal stopping of Markov processes: Hilbert space theory, approximation algorithms, and an application to pricing high-dimensional financial derivatives

Tsitsiklis، نويسنده , , J.N.، نويسنده , , van Roy، نويسنده , , B، نويسنده ,

روزنامه با شماره پیاپی سال 1999

12

1840

1851

complex systems , Curse of dimensionality , Dynamicprogramming , Function approximation , optimal stopping , stochastic approximation.

IEEE Transactions on Automatic Control

1999

IEEE Transactions on Automatic Control

385375