Discrete-time probabilistic approximation of path-dependent stochastic control problems (Q744373)

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.