Markov chain approximation techniques for a class of nonlinear control problems
Neural, Parallel & Scientific Computations
Automatica (Journal of IFAC)
Applying a finite-horizon numerical optimization method to a periodic optimal control problem
Automatica (Journal of IFAC)
Optimal interest rate derivatives portfolio with constrained greeks-a stochastic control approach
SMO'09 Proceedings of the 9th WSEAS international conference on Simulation, modelling and optimization
A Penalty Method for the Numerical Solution of Hamilton-Jacobi-Bellman (HJB) Equations in Finance
SIAM Journal on Numerical Analysis
Numerical methods for controlled regime-switching diffusions and regime-switching jump diffusions
Automatica (Journal of IFAC)
Penalty Methods for the Solution of Discrete HJB Equations—Continuous Control and Obstacle Problems
SIAM Journal on Numerical Analysis
Original article: Approximation of the Fokker-Planck equation of the stochastic chemostat
Mathematics and Computers in Simulation
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