On weak approximation of stochastic differential equations through hard bounds by mathematical programming

DOI10.1137/110841497MaRDI QIDQ4917123zbMATH OpenOpenAlexFDO

Authors Kenji Kashima, Reiichiro Kawai

Publication date 29 April 2013

Published in SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/110841497

zbMATH Keywords

Dynkin formulasemidefinite programmingstochastic differential equationsum-of-squares relaxationweak approximation

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30) Semidefinite programming (90C22)

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Cited in

(14)

• Explicit hard bounding functions for boundary value problems for elliptic partial differential equations
• Moment and polynomial bounds for ruin-related quantities in risk theory
• The Gerber-Shiu discounted penalty function: a review from practical perspectives
• Bounding stationary averages of polynomial diffusions via semidefinite programming
• Solution Bounds for Elliptic Partial Differential Equations via Feynman-Kac Representation
• Measuring impact of random jumps without sample path generation
• POLYNOMIAL BOUNDS FOR SOLUTIONS TO BOUNDARY VALUE AND OBSTACLE PROBLEMS WITH APPLICATIONS TO FINANCIAL DERIVATIVE PRICING
• Smooth upper bounds for the price function of American style options
• A weak approximation of stochastic differential equations with jumps through tempered polynomial optimization
• An Optimization Approach to Weak Approximation of Lévy-Driven Stochastic Differential Equations
• Computable Primal and Dual Bounds for Stochastic Control
• An optimization approach to weak approximation of stochastic differential equations with jumps
• A recursive representation for decoupling time-state dependent jumps from jump-diffusion processes
• Moment-SOS hierarchy and exit location of stochastic processes

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• Sostools
• SeDuMi

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