"A Dual Algorithm for Stochastic Control Problems: Applications to ..."

Pierre Henry-Labordère, Christian Litterer, Zhenjie Ren (2016)

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DOI: 10.1137/15M1019945

access: closed

type: Journal Article

metadata version: 2017-05-17

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Pierre Henry-Labordère, Christian Litterer, Zhenjie Ren:
A Dual Algorithm for Stochastic Control Problems: Applications to Uncertain Volatility Models and CVA. SIAM J. Financial Math. 7(1): 159-182 (2016)

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