A numerical algorithm for fully nonlinear HJB equations: an approach by control randomization
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Publication:2248052
DOI10.1515/mcma-2013-0024zbMath1294.60085arXiv1311.4503MaRDI 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
Monte Carlo; backward stochastic differential equations; HJB equation; empirical regressions; uncertain volatility; control randomization
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
93E20: Optimal stochastic control
60H35: Computational methods for stochastic equations (aspects of stochastic analysis)
65C30: Numerical solutions to stochastic differential and integral equations
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