Serving the Quantitative Finance Community
Stochastic optimal control and monte carlo simulation
Has anyone of you here implemented the solution method proposed by the following paper (by C.Rogers) ?http://www.statslab.cam.ac.uk/~chris/pa ... 50806.pdfI am looking for an application to, say, the (one factor) stochastic growth model. I would appreciate any discussion and input.Cheers,mjy