A Dual Algorithm for Stochastic Control Problems: Applications to Uncertain Volatility Models and CVA

DOI10.1137/15M1019945zbMath1338.93401arXiv1504.06146MaRDI QIDQ2808183

Zhenjie Ren, Pierre Henry-Labordère, Christian Litterer

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 methodsduality theoryoptimal stochastic control

Mathematics Subject Classification ID

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

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