Search for tag: "computationally simple trees"

Ph.D. course "The mathematics of energy… duration 1 hour 37 minutes Ph.D. course "The mathematics of energy… Ph.D. course "The mathematics of energy markets" - Lecture 6	Ph.D. course "The mathematics of energy markets" - Lecture 6 Stochastic control in continuous time. Dynamic programming and the Hamilton-Jacobi-Bellman equation. Example: gas storage. Computationally simple trees for diffusions. stochastic control hamilton-jacobi-bellman equation dynamic programming computationally simple trees From Tiziano Vargiolu 10 plays 0
Lectures 70-71: Computationally simple trees duration 1 hour 42 minutes Lectures 70-71: Computationally simple trees Lectures 70-71: Computationally simple trees	Lectures 70-71: Computationally simple trees Building computationally simple trees: method of Nelson-Rawaswamy. Pricing of an option written on an exponential Ornstein-Uhlenbeck process: non-parallel and parallel MATLAB… computationally simple trees ornstein-uhlenbeck process markov chain convergence in distribution convergence in law parallel computing From Tiziano Vargiolu 6 plays 0