Jan 4, 2020 · Abstract:We consider a Markov chain approximation scheme for utility maximization problems in continuous time, which uses, in turn, ...

In the present paper, we use duality results to obtain a posteriori upper error bounds which are empirically of the same order as the lower bounds.

In the present paper, we use duality results to obtain a posteriori upper error bounds which are empirically of the same order as the lower bounds.

In the present paper, we use duality results to obtain a posteriori upper error bounds which are empirically of the same order as the lower bounds. The ...

Apr 1, 2020 · In the present paper, we use duality results to obtain a posteriori upper error bounds which are empirically of the same order as the lower ...

Mar 11, 2019 · Abstract. We consider a Markov chain approximation scheme for utility maximization prob- lems in continuous time, which uses, in turn, ...

Dec 2, 2019 · The analysis that follows aims to eliminate this dominant term and replace it by a term which can be computed a posteriori from the numerical ...

Duality-based a posteriori error estimates for some approximation schemes for optimal investment problems (with C. Reisinger), CAMWA: Computer and ...

Duality-based a posteriori error estimates for some approximation schemes for optimal investment problems. Picarelli A., Reisinger C. Q1. Elsevier. Computers ...

Jan 4, 2020 · We introduce a class of numerical schemes for optimal stochastic control problems based on a novel Markov chain approximation, which uses, ...