A dual algorithm for stochastic control problems: applications to uncertain volatility models and CVA

DOI10.1137/15M1019945MaRDI QIDQ2808183zbMATH OpenFDO

Authors Pierre Henry-Labordère, Christian Litterer, Zhenjie Ren

Publication date 20 May 2016

Published in SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1504.06146

zbMATH Keywords

numerical methodsoptimal stochastic controlduality theory

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Optimal stochastic control (93E20) Duality theory (optimization) (49N15)

Abstract: We derive an algorithm in the spirit of Rogers and Davis & Burstein that leads to upper bounds for stochastic control problems. Our bounds complement lower biased estimates recently obtained in the work of Guyon & Henry-Labord`ere. We evaluate our estimates in numerical examples motivated from mathematical finance.

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Cited in

(6)

• A simple numerical solution for an optimal investment strategy for a DC pension plan in a jump diffusion model
• Three ways to solve partial differential equations with neural networks — A review
• Recent developments in machine learning methods for stochastic control and games
• Dual control Monte-Carlo method for tight bounds of value function under Heston stochastic volatility model
• Volatility uncertainty quantification in a stochastic control problem applied to energy
• Numerical methods for backward stochastic differential equations: a survey

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