Work

An efficient discretization to simulate the solution of linear–quadratic stochastic boundary control problem

Year: 2025

Type: article

Source: IMA Journal of Numerical Analysis

DOI: 10.1093/imanum/draf060

Authors: Abhishek Chaudhary, Fabian Merle, Andreas Prohl, Yanqing Wang

Institutions: University of Tübingen, Southwest University

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W4413095548

FWCI: 1.861

Cites: 45

Cited by: 2

Related to: 10