Discrete-time probabilistic approximation of path-dependent stochastic control problems
invariance principleMonte Carlo schemenonlinear parabolic equationpath-dependent stochastic controlweak convergence
Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30) Numerical optimization and variational techniques (65K10) Optimal stochastic control (93E20)
The authors provide a probabilistic interpretation of the Monte Carlo scheme proposed by \textit{A. Fahim} et al. [Ann. Appl. Probab. 21, No. 4, 1322--1364 (2011; Zbl 1230.65009)] for fully nonlinear parabolic partial differential equations, 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 \textit{H. J. Kushner} and \textit{P. G. Dupuis} [Numerical methods for stochastic control problems in continuous time. New York etc.: Springer-Verlag (1992; Zbl 0754.65068)]. They also obtain a rate of convergence using the invariance principle technique as in the work by \textit{Y. Dolinsky} [Electron. J. Probab. 17, Paper No. 98, 15 p. (2012; Zbl 1283.60046)], and by approximating the conditional expectations arising in the numerical scheme with a simulation-regression method they obtain an implementable scheme.
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