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20132025
most citedA Regress-Later Algorithm for Backward Stochastic Differential Equations

2 citations · 2 across the 3 of their papers we have counts for

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q-fin.MF2019

Near-Optimal Dynamic Asset Allocation in Financial Markets with Trading Constraints

Thijs Kamma, Antoon Pelsser

We develop a dual-control method for approximating investment strategies in incomplete environments that emerge from the presence of trading constraints. Convex duality enables the…