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math.RA2018★ 24 cited
High order Bellman equations and weakly chained diagonally dominant tensors
Parsiad Azimzadeh, Erhan Bayraktar
We introduce high order Bellman equations, extending classical Bellman equations to the tensor setting. We introduce weakly chained diagonally dominant (w.c.d.d.) tensors and show…
math.NA2018★ 6 cited
Impulse Control in Finance: Numerical Methods and Viscosity Solutions
Parsiad Azimzadeh
The goal of this thesis is to provide efficient and provably convergent numerical methods for solving partial differential equations (PDEs) coming from impulse control problems mot…