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A probabilistic max-plus numerical method for solving stochastic control problems

Eric Fodjo 1, 2
1 TROPICAL - TROPICAL
CMAP - Centre de Mathématiques Appliquées - Ecole Polytechnique, Inria Saclay - Ile de France
2 CMAP - Centre de Mathématiques Appliquées - Ecole Polytechnique
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Conference papers
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https://hal.inria.fr/hal-01425335
Contributor : Marianne Akian <>
Submitted on : Tuesday, January 3, 2017 - 3:11:39 PM
Last modification on : Friday, April 30, 2021 - 9:56:48 AM

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  • HAL Id : hal-01425335, version 1

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CNRS | INSMI | TDS-MACS | CMAP | INRIA | X-CMAP | X | X-DEP-MATHA | GS-COMPUTER-SCIENCE

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Eric Fodjo. A probabilistic max-plus numerical method for solving stochastic control problems. SIAM Conference on Financial Mathematics & Engineering, Nov 2016, Austin, United States. ⟨hal-01425335⟩

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