2013
On the Fourier cosine series expansion (COS) method for stochastic control problems
Publication
Publication
Numerical Linear Algebra with Applications , Volume 20 - Issue 4 p. 598- 625
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Other (theme 6) | |
Wiley | |
Numerical Linear Algebra with Applications | |
Organisation | Scientific Computing |
Ruijter, M.J, Oosterlee, C.W, & Aalbers, R.F.T. (2013). On the Fourier cosine series expansion (COS) method for stochastic control problems. Numerical Linear Algebra with Applications, 20(4), 598–625.
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