Jingtang Ma, Wenyuan Li, Harry Zheng. Dual control Monte-Carlo method for tight bounds of value function in regime switching utility maximization. European Journal of Operational Research, 262(3):851-862, 2017. [doi]
@article{MaLZ17-2,
title = {Dual control Monte-Carlo method for tight bounds of value function in regime switching utility maximization},
author = {Jingtang Ma and Wenyuan Li and Harry Zheng},
year = {2017},
doi = {10.1016/j.ejor.2017.04.056},
url = {https://doi.org/10.1016/j.ejor.2017.04.056},
researchr = {https://researchr.org/publication/MaLZ17-2},
cites = {0},
citedby = {0},
journal = {European Journal of Operational Research},
volume = {262},
number = {3},
pages = {851-862},
}