Researchr is a web site for finding, collecting, sharing, and reviewing scientific publications, for researchers by researchers.
Sign up for an account to create a profile with publication list, tag and review your related work, and share bibliographies with your co-authors.
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]
Possibly Related PublicationsThe following publications are possibly variants of this publication: Dual control Monte-Carlo method for tight bounds of value function under Heston stochastic volatility modelJingtang Ma, Wenyuan Li, Harry Zheng. eor, 280(2):428-440, 2020. [doi] Finite Difference Methods for the Hamilton-Jacobi-Bellman Equations Arising in Regime Switching Utility MaximizationJingtang Ma, Jianjun Ma. jscic, 85(3):55, 2020. [doi]
The following publications are possibly variants of this publication: