A Probabilistic Numerical Method for Optimal Multiple Switching Problems in High Dimension

DOI10.1137/120897298zbMath1308.93217arXiv1210.8175OpenAlexW2159798073MaRDI QIDQ2940758

Nicolas Langrené, René Aïd, Luciano Campi, Huyên Pham

Publication date: 20 January 2015

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1210.8175

zbMATH Keywords

Monte Carlo algorithmoptimal switchinglocal basis regressionoptimal investment in power generation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Optimal stochastic control (93E20) Financial applications of other theories (91G80)

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