Discrete time approximation of fully nonlinear HJB equations via BSDEs with nonpositive jumps
From MaRDI portal
Publication:2354898
backward stochastic differential equationsconvergencediscrete time approximationHamilton-Jacobi-Bellman equationnonlinear degenerate PDEoptimal controlsample
Hamilton-Jacobi equations (35F21) Existence theories for optimal control problems involving partial differential equations (49J20) Existence of optimal solutions to problems involving randomness (49J55) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Numerical solutions to stochastic differential and integral equations (65C30) Numerical optimization and variational techniques (65K10)
Abstract: We propose a new probabilistic numerical scheme for fully nonlinear equation of Hamilton-Jacobi-Bellman (HJB) type associated to stochastic control problem, which is based on the Feynman-Kac representation in [12] by means of control randomization and backward stochastic differential equation with nonpositive jumps. We study a discrete time approximation for the minimal solution to this class of BSDE when the time step goes to zero, which provides both an approximation for the value function and for an optimal control in feedback form. We obtained a convergence rate without any ellipticity condition on the controlled diffusion coefficient. Explicit implementable scheme based on Monte-Carlo simulations and empirical regressions, associated error analysis, and numerical experiments are performed in the companion paper [13].
Recommendations
- A numerical algorithm for fully nonlinear HJB equations: an approach by control randomization
- scientific article; zbMATH DE number 5657859
- A probabilistic numerical method for fully nonlinear parabolic PDEs
- Discrete-time probabilistic approximation of path-dependent stochastic control problems
- A finite element like scheme for integro-partial differential Hamilton-Jacobi-Bellman equations
Cites work
- A numerical algorithm for fully nonlinear HJB equations: an approach by control randomization
- A numerical scheme for BSDEs
- A probabilistic numerical method for fully nonlinear parabolic PDEs
- A splitting method for fully nonlinear degenerate parabolic PDEs
- Approximating value functions for controlled degenerate diffusion processes by using piece-wise constant policies.
- Backward stochastic differential equations and integral-partial differential equations
- Consistency of Generalized Finite Difference Schemes for the Stochastic HJB Equation
- Continuous-time stochastic control and optimization with financial applications
- Controlled Markov processes and viscosity solutions
- Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
- Discrete-time approximation for continuously and discretely reflected BSDEs
- Discrete-time approximation of decoupled Forward-Backward SDE with jumps
- Error analysis of the optimal quantization algorithm for obstacle problems.
- Error bounds for monotone approximation schemes for parabolic Hamilton-Jacobi-Bellman equations
- Feynman-Kac representation for Hamilton-Jacobi-Bellman IPDE
- scientific article; zbMATH DE number 53999 (Why is no real title available?)
- scientific article; zbMATH DE number 54145 (Why is no real title available?)
- On the rate of convergence of finite-difference approximations for Bellman's equations with variable coefficients
- Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations
- User’s guide to viscosity solutions of second order partial differential equations
- Weak approximation of second-order BSDEs
- Wellposedness of second order backward SDEs
Cited in
(31)- Backward SDEs for optimal control of partially observed path-dependent stochastic systems: A control randomization approach
- Approximation schemes for mixed optimal stopping and control problems with nonlinear expectations and jumps
- Robust utility maximization under model uncertainty via a penalization approach
- Explicit multistep stochastic characteristic approximation methods for forward backward stochastic differential equations
- A bias-corrected least-squares Monte Carlo for solving multi-period utility models
- An explicit second-order numerical scheme for mean-field forward backward stochastic differential equations
- A numerical algorithm for fully nonlinear HJB equations: an approach by control randomization
- Forward-backward SDEs with distributional coefficients
- Optimal switching problems with an infinite set of modes: an approach by randomization and constrained backward SDEs
- Feynman-Kac representation for Hamilton-Jacobi-Bellman IPDE
- Randomized and backward SDE representation for optimal control of non-Markovian SDEs
- Feynman-Kac representation of fully nonlinear PDEs and applications
- On the convergence of monotone schemes for path-dependent PDEs
- Nonlinear Feynman-Kac formula and discrete-functional-type BSDEs with continuous coeffi\-cients
- Backward SDE representation for stochastic control problems with nondominated controlled intensity
- Optimal control of piecewise deterministic Markov processes: a BSDE representation of the value function
- scientific article; zbMATH DE number 5657859 (Why is no real title available?)
- Randomized dynamic programming principle and Feynman-Kac representation for optimal control of McKean-Vlasov dynamics
- Extended backward stochastic Volterra integral equations, quasilinear parabolic equations, and Feynman-Kac formula
- A class of finite-dimensional numerically solvable McKean-Vlasov control problems
- Backward SDEs and infinite horizon stochastic optimal control
- Constrained BSDEs driven by a non-quasi-left-continuous random measure and optimal control of PDMPs on bounded domains
- Optimal control of semi-Markov processes with a backward stochastic differential equations approach
- Constrained BSDEs representation of the value function in optimal control of pure jump Markov processes
- A probabilistic numerical method for fully nonlinear parabolic PDEs
- The nonlinear progressive accommodation: design and methodology
- A randomisation method for mean-field control problems with common noise
- The randomization method in stochastic optimal control
- SOC-MartNet: a martingale neural network for the Hamilton-Jacobi-Bellman equation without explicit \(\inf_{u\in U}H\) in stochastic optimal controls
- Solving non-Markovian stochastic control problems driven by Wiener functionals
- Discrete-time probabilistic approximation of path-dependent stochastic control problems
This page was built for publication: Discrete time approximation of fully nonlinear HJB equations via BSDEs with nonpositive jumps
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2354898)
