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2
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TANG Tao
2
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Journal article
2
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2017
2
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英语English
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Backward stochastic differe...
1
Conditional expectations
1
Deferred correction method
1
Euler method
1
Gradient projection methods
1
Stochastic optimal control
1
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Numerical Mathematics
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SIAM Journal on Numerical A...
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An efficient gradient projection method for stochastic optimal control problems
Journal article
SIAM Journal on Numerical Analysis,2017, volume: 55, issue: 6, pages: 2982-3005
Authors:
Gong, Bo
;
Liu, Wenbin
;
Tang, Tao
;
Zhao, Weidong
;
Zhou, Tao
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View/Download:25/0
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Submit date:2021/05/10
Backward stochastic differential equations
Conditional expectations
Gradient projection methods
Stochastic optimal control
Deferred Correction Methods for Forward Backward Stochastic Differential Equations
Journal article
Numerical Mathematics,2017, volume: 10, issue: 2, pages: 222-242
Authors:
Tang, Tao
;
Zhao, Weidong
;
Zhou, Tao
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Submit date:2021/05/10
Deferred correction method
Euler method
forward backward stochastic differential equations
high-order scheme