Coupling and the policy improvement algorithm for controlled diffusion processess
The thesis deals with the mirror and synchronous couplings of geometric Brownian motions, the policy improvement (or iteration) algorithm in completely continuous settings, and an application where the latter is applied to the former. First we investigate whether the mirror and synchronous couplings...
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University of Warwick
2015
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.668932 |