Stochastic

Fixed grid and stochastic grid monte carlo sampling in matlab

The following Matlab project contains the source code and Matlab examples used for fixed grid and stochastic grid monte carlo sampling. Illustrates results and algorithms of Chapter 7 of the Wiley Finance series book Financial Modelling by Joerg Kienitz and Daniel Wetterau. We cover the sampling from Jump-Diffusion models namely Fixed Grid simulation and Stochastic Grid simulation.

Stochastic dynamic programming for water reservoir in matlab

The following Matlab project contains the source code and Matlab examples used for stochastic dynamic programming for water reservoir. Stochastic Dynamic Programming is an optimization technique for decision making under uncertainty. In this program, the technique was applied for water reservoir management to decide amount of water release from a water reservoir.
Subscribe to RSS - Stochastic