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A stochastic programming approach to cash management in banking

✍ Scribed by Jordi Castro


Book ID
108118476
Publisher
Elsevier Science
Year
2009
Tongue
English
Weight
268 KB
Volume
192
Category
Article
ISSN
0377-2217

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## Abstract In this paper we develop a simulation‐based approach to stochastic dynamic programming. To solve the Bellman equation we construct Monte Carlo estimates of __Q__‐values. Our method is scalable to high dimensions and works in both continuous and discrete state and decision spaces while a