Abstract— In this paper, we consider a class of continuoustime, continuous-space stochastic optimal control problems. Building upon recent advances in Markov chain approximation ...
Abstract. We present a new derivative-free algorithm, ORBIT, for unconstrained local optimization of computationally expensive functions. A trust-region framework using interpolati...
Stefan M. Wild, Rommel G. Regis, Christine A. Shoe...
We analyze the problem of pricing and hedging contingent claims in the multi-period, discrete time, discrete state case using the concept of a sufficiently attractive expected gai...
The quantization based filtering method (see [13], [14]) is a grid based approximation method to solve nonlinear filtering problems with discrete time observations. It relies on o...
Semidiscrete finite element approximation of the linear stochastic wave equation with additive noise is studied in a semigroup framework. Optimal error estimates for the determinis...