Sökning: "Hamilton-Jacobi equation. Optimal control. Euler method."
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1. Inverse Parameter Estimation using Hamilton-Jacobi Equations
Magister-uppsats, KTH/Numerisk analys, NASammanfattning : Inthis degree project, a solution on a coarse grid is recovered by fitting apartial differential equation to a few known data points. The PDE to consideris the heat equation and the Dupire’s equation with their synthetic data,including synthetic data from the Black-Scholes formula. LÄS MER
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