On the Fourier cosine series expansion (COS) method for stochastic control problems

MJ Ruijter, CW Oosterlee, RFT Aalbers

Research output: Contribution to journal › Article › Scientific › peer-review

10 Citations (Scopus)

Original language	English
Pages (from-to)	598-625
Number of pages	28
Journal	Numerical Linear Algebra with Applications
Volume	20
Issue number	4
DOIs	https://doi.org/10.1002/nla.1866
Publication status	Published - 2013

Keywords

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title = "On the Fourier cosine series expansion (COS) method for stochastic control problems",

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AU - Oosterlee, CW

AU - Aalbers, RFT

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KW - academic journal papers

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