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A numerical algorithm for fully nonlinear HJB equations: An approach by control randomization.
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- Monte Carlo Methods & Applications, 2014, v. 20, n. 2, p. 145, doi. 10.1515/mcma-2013-0024
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- Article
Visual Diagnostics for Constrained Optimisation with Application to Guided Tours.
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- R Journal, 2021, v. 13, n. 2, p. 624, doi. 10.32614/rj-2021-105
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- Article
A STRUCTURAL RISK-NEUTRAL MODEL FOR PRICING AND HEDGING POWER DERIVATIVES.
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- Mathematical Finance, 2013, v. 23, n. 3, p. 387, doi. 10.1111/j.1467-9965.2011.00507.x
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- Article
Designing higher value roads to preserve species at risk by optimally controlling traffic flow.
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- Annals of Operations Research, 2023, v. 320, n. 2, p. 663, doi. 10.1007/s10479-022-04779-0
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- Article
Deep Neural Networks Algorithms for Stochastic Control Problems on Finite Horizon: Numerical Applications.
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- Methodology & Computing in Applied Probability, 2022, v. 24, n. 1, p. 143, doi. 10.1007/s11009-019-09767-9
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- Article
Using a stochastic economic scenario generator to analyse uncertain superannuation and retirement outcomes.
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- Annals of Actuarial Science, 2021, v. 15, n. 3, p. 549, doi. 10.1017/S1748499520000305
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- Article
Markovian Approximation of the Rough Bergomi Model for Monte Carlo Option Pricing.
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- Mathematics (2227-7390), 2021, v. 9, n. 5, p. 528, doi. 10.3390/math9050528
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- Article
SWITCHING TO NONAFFINE STOCHASTIC VOLATILITY: A CLOSED-FORM EXPANSION FOR THE INVERSE GAMMA MODEL.
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- International Journal of Theoretical & Applied Finance, 2016, v. 19, n. 5, p. -1, doi. 10.1142/S021902491650031X
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- Article