A numerical algorithm for fully nonlinear HJB equations: an approach by control randomization

DOI10.1515/mcma-2013-0024zbMath1294.60085arXiv1311.4503OpenAlexW2149636389MaRDI QIDQ2248052

Huyên Pham, Idris Kharroubi, Nicolas Langrené

Publication date: 30 June 2014

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1311.4503

zbMATH Keywords

Monte Carlobackward stochastic differential equationsHJB equationempirical regressionsuncertain volatilitycontrol randomization

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (27)

Robust utility maximization under model uncertainty via a penalization approach ⋮ Backward SDE representation for stochastic control problems with nondominated controlled intensity ⋮ Optimal control of piecewise deterministic Markov processes: a BSDE representation of the value function ⋮ A bias-corrected least-squares Monte Carlo for solving multi-period utility models ⋮ Backward SDEs for optimal control of partially observed path-dependent stochastic systems: A control randomization approach ⋮ On the investment strategies in occupational pension plans ⋮ Valuation of variable annuities with guaranteed minimum withdrawal benefit under stochastic interest rate ⋮ Designing higher value roads to preserve species at risk by optimally controlling traffic flow ⋮ Backward SDEs and infinite horizon stochastic optimal control ⋮ Optimal liquidation through a limit order book: a neural network and simulation approach ⋮ Algorithmic trading in a microstructural limit order book model ⋮ Two-phase selective decentralization to improve reinforcement learning systems with MDP ⋮ Optimal control of infinite-dimensional piecewise deterministic Markov processes: a BSDE approach. Application to the control of an excitable cell membrane ⋮ ``Regression anytime with brute-force SVD truncation ⋮ A Machine Learning Approach to Adaptive Robust Utility Maximization and Hedging ⋮ Optimal control of semi-Markov processes with a backward stochastic differential equations approach ⋮ Constrained BSDEs representation of the value function in optimal control of pure jump Markov processes ⋮ Reflected BSDEs with nonpositive jumps, and controller-and-stopper games ⋮ Pricing bounds and bang-bang analysis of the Polaris variable annuities ⋮ A class of finite-dimensional numerically solvable McKean-Vlasov control problems ⋮ Pathwise Dynamic Programming ⋮ Optimal switching problems with an infinite set of modes: an approach by randomization and constrained backward SDEs ⋮ Dynamic portfolio optimization with liquidity cost and market impact: a simulation-and-regression approach ⋮ Automatic model training under restrictive time constraints ⋮ Feynman-Kac representation for Hamilton-Jacobi-Bellman IPDE ⋮ Discrete time approximation of fully nonlinear HJB equations via BSDEs with nonpositive jumps ⋮ Feynman-Kac representation of fully nonlinear PDEs and applications

This page was built for publication: A numerical algorithm for fully nonlinear HJB equations: an approach by control randomization