Monte Carlo methods via a dual approach for some discrete time stochastic control problems

DOI10.1007/s00186-014-0488-3zbMath1403.91372arXiv1112.4351OpenAlexW1877946397MaRDI QIDQ2264108

Jan Hendrik Witte, Lajos Gyurkó, Benjamin M. Hambly

Publication date: 20 March 2015

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1112.4351

zbMATH Keywords

stochastic controlMonte Carlo methodsdual formulationleast squares regression

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Martingales with discrete parameter (60G42) Monte Carlo methods (65C05) Optimal stochastic control (93E20) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

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