Weak Convergence Methods for Approximation of the Evaluation of Path-Dependent Functionals

DOI10.1137/130913158zbMath1279.93098arXiv1302.4278OpenAlexW2008873983MaRDI QIDQ2873872

George Yin, Qingshuo Song, Qing Zhang

Publication date: 27 January 2014

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1302.4278

zbMATH Keywords

weak convergenceMonte Carlo optimizationcontinuous mapping theoremSkorohod topologypath-dependent functional

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Discrete-time Markov processes on general state spaces (60J05) Optimal stochastic control (93E20) Diffusion processes (60J60) Stochastic systems in control theory (general) (93E03) Portfolio theory (91G10)

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