A Numerical Algorithm for the Coupled PDEs Control Problem
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DOI: 10.1007/s10614-017-9757-6
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Cited by:
- Peng Li, 2021. "The Valuation of Weather Derivatives Using One Sided Crank–Nicolson Schemes," Computational Economics, Springer;Society for Computational Economics, vol. 58(3), pages 825-847, October.
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Keywords
PDE control; Zero-sum game; Markov chain; Computational complexity;All these keywords.
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