Discrete-time probabilistic approximation of path-dependent stochastic control problems
From MaRDI portal
weak convergencenonlinear parabolic equationinvariance principleMonte Carlo schemepath-dependent stochastic control
Monte Carlo methods (65C05) Numerical optimization and variational techniques (65K10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Optimal stochastic control (93E20)
Abstract: We give a probabilistic interpretation of the Monte Carlo scheme proposed by Fahim, Touzi and Warin [Ann. Appl. Probab. 21 (2011) 1322-1364] for fully nonlinear parabolic PDEs, and hence generalize it to the path-dependent (or non-Markovian) case for a general stochastic control problem. A general convergence result is obtained by a weak convergence method in the spirit of Kushner and Dupuis [Numerical Methods for Stochastic Control Problems in Continuous Time (1992) Springer]. We also get a rate of convergence using the invariance principle technique as in Dolinsky [Electron. J. Probab. 17 (2012) 1-5], which is better than that obtained by viscosity solution method. Finally, by approximating the conditional expectations arising in the numerical scheme with simulation-regression method, we obtain an implementable scheme.
Recommendations
- An approximation scheme for stochastic controls in continuous time
- A probabilistic numerical method for fully nonlinear parabolic PDEs
- Discrete time approximation of fully nonlinear HJB equations via BSDEs with nonpositive jumps
- Monte Carlo methods via a dual approach for some discrete time stochastic control problems
- Convergence of a Monte Carlo method for fully nonlinear parabolic local and non-local PDEs
Cites work
- scientific article; zbMATH DE number 4205918 (Why is no real title available?)
- scientific article; zbMATH DE number 3664138 (Why is no real title available?)
- scientific article; zbMATH DE number 53999 (Why is no real title available?)
- scientific article; zbMATH DE number 1552489 (Why is no real title available?)
- scientific article; zbMATH DE number 902686 (Why is no real title available?)
- scientific article; zbMATH DE number 3283642 (Why is no real title available?)
- A fast algorithm for the two dimensional HJB equation of stochastic control
- A numerical scheme for BSDEs
- A probabilistic numerical method for fully nonlinear parabolic PDEs
- A splitting method for fully nonlinear degenerate parabolic PDEs
- Compactification methods in the control of degenerate diffusions: existence of an optimal control
- Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
- Linear regression MDP scheme for discrete backward stochastic differential equations under general conditions
- Numerical Methods for Stochastic Control Problems in Continuous Time
- Numerical schemes for \(G\)-expectations
- On error bounds for approximation schemes for non-convex degenerate elliptic equations
- Quasi-sure stochastic analysis through aggregation
- Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations
- Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs
- Semi-Lagrangian schemes for linear and fully non-linear diffusion equations
- Stochastic optimal control. The discrete time case
- Weak approximation of \(G\)-expectations
- Wellposedness of second order backward SDEs
- \(G\)-expectation, \(G\)-Brownian motion and related stochastic calculus of Itô type
Cited in
(17)- Discrete-Time Approximation of Stochastic Optimal Control with Partial Observation
- Probabilistic criterion-based optimal retention of trajectories of a discrete-time stochastic system in a given tube: bilateral estimation of the Bellman function
- On the convergence of monotone schemes for path-dependent PDEs
- ``Regression anytime with brute-force SVD truncation
- On the adaptation of the Lagrange formalism to continuous time stochastic optimal control: a Lagrange-Chow redux
- Weak approximation of second-order BSDEs
- Probability methods for approximations in stochastic control and for elliptic equations
- An approximation scheme for stochastic controls in continuous time
- Discrete and sampled-data stochastic control problems with complete and incomplete state information
- Monte Carlo methods via a dual approach for some discrete time stochastic control problems
- Path dependent optimal transport and model calibration on exotic derivatives
- scientific article; zbMATH DE number 3845484 (Why is no real title available?)
- Discrete time approximation of fully nonlinear HJB equations via BSDEs with nonpositive jumps
- Numerical simulations for \(G\)-Brownian motion
- Duality and approximation of stochastic optimal control problems under expectation constraints
- A monotone scheme for high-dimensional fully nonlinear PDEs
- Pade approximation for stochastic discrete-event systems
This page was built for publication: Discrete-time probabilistic approximation of path-dependent stochastic control problems
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q744373)
