On the Fourier cosine series expansion (COS) method for stochastic control problems

Ruijter, MJ; Oosterlee, Cornelis W.; Aalbers, RFT

On the Fourier cosine series expansion (COS) method for stochastic control problems

Journal article (2013)

Authors

MJ Ruijter Numerical Analysis

Cornelis W. Oosterlee Numerical Analysis

RFT Aalbers External organisation

Research Group

Numerical Analysis

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Published Date

2013

Language

English

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Research Group

Numerical Analysis

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