Asymptotic Expansion and Weak Approximation for a Stochastic Control Problem on Path Space

Keyphrases

• Asymptotic Expansion 100%
• Weak Approximation 100%
• Path Space 100%
• Stochastic Control Problem 100%
• Asymptotic Expansion Method 100%
• Convergence Rate 50%
• Monte Carlo Simulation 50%
• Numerical Experiments 50%
• Relative Entropy Minimization 50%
• Error Estimates 50%
• Approximation Error 50%
• Efficient numerical Scheme 50%

Mathematics

• Control Problems 100%
• Stochastics 100%
• Weak Approximation 100%
• Asymptotic Expansion 100%
• Path Space 100%
• Numerical Experiment 33%
• Monte Carlo 33%
• Numerical Scheme 33%
• Error Expansion 33%
• Precise Error Estimate 33%
• Functionals 33%
• Relative Entropy 33%
• Approximation Error 33%