377 search results - page 10 / 76 » Discrete stochastic optimization using linear interpolation |
CORR
2012
Springer
13 years 5 months ago
2012
Springer
Abstract— In this paper, we consider a class of continuoustime, continuous-space stochastic optimal control problems. Building upon recent advances in Markov chain approximation ...
72
Voted
SIAMSC
2008
14 years 9 months ago
2008
Abstract. We present a new derivative-free algorithm, ORBIT, for unconstrained local optimization of computationally expensive functions. A trust-region framework using interpolati...
EOR
2010
14 years 4 months ago
2010
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...
71
Voted
SIAMNUM
2010
14 years 4 months ago
2010
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...
66
Voted
SIAMNUM
2010
14 years 4 months ago
2010
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...