Abstract. We design a numerical scheme for solving the Multi-step Forward Dynamic Programming (MDP) equation arising from the time-discretization of backward stochastic differential equations. The ...

WASHINGTON, June 22, 2021 -- Emerging open-source programming language Julia is designed to be fast and easy to use. Since it is particularly suited for numerical applications, such as differential ...

We present a novel method for deriving tight Monte Carlo confidence intervals for solutions of stochastic dynamic programming equations. Taking some approximate solution to the equation as an input, ...

This program is offered by the Department of Management Science and Information Systems (MSIS). It is the continuation of the previous concentration in Management Science and the program of Operations ...