Discrete-time probabilistic approximation of path-dependent stochastic control problems

DOI10.1214/13-AAP963zbMath1304.65160arXiv1407.0499OpenAlexW3098102985MaRDI QIDQ744373

Xiaolu Tan

Publication date: 25 September 2014

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1407.0499

zbMATH Keywords

weak convergencenonlinear parabolic equationinvariance principleMonte Carlo schemepath-dependent stochastic control

Mathematics Subject Classification ID

Related Items (8)

On the convergence of monotone schemes for path-dependent PDEs ⋮ Numerical simulations for \(G\)-Brownian motion ⋮ Discrete-Time Approximation of Stochastic Optimal Control with Partial Observation ⋮ ``Regression anytime with brute-force SVD truncation ⋮ Path dependent optimal transport and model calibration on exotic derivatives ⋮ Duality and Approximation of Stochastic Optimal Control Problems under Expectation Constraints ⋮ Weak approximation of second-order BSDEs ⋮ A monotone scheme for high-dimensional fully nonlinear PDEs

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