A dual algorithm for stochastic control problems: applications to uncertain volatility models and CVA
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Publication:2808183
DOI10.1137/15M1019945zbMATH Open1338.93401arXiv1504.06146MaRDI QIDQ2808183FDOQ2808183
Zhenjie Ren, Pierre Henry-Labordère, Christian Litterer
Publication date: 20 May 2016
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/1504.06146
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Numerical methods (including Monte Carlo methods) (91G60) Optimal stochastic control (93E20) Duality theory (optimization) (49N15)
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Cited In (4)
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