George Labahn

University of Waterloo - David R. Cheriton School of Computer Science

200 University Avenue West

Waterloo, ON

Canada

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ε-Monotone Fourier Methods for Optimal Stochastic Control in Finance

Journal of Computational Finance, Vol. 22, No. 4, 2019
Number of pages: 48 Posted: 26 Feb 2019
Peter Forsyth and George Labahn
University of Waterloo - David R. Cheriton School of Computer Science and University of Waterloo - David R. Cheriton School of Computer Science
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Abstract:

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monotonicity, Fourier methods, discrete comparison, optimal stochastic control, finance