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 Carlo backward stochastic differential equations HJB equation empirical regressions uncertain volatility control 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)

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