SOLUTIONS AND DIAGNOSTICS OF SWITCHING PROBLEMS WITH LINEAR STATE DYNAMICS

DOI10.1017/S1446181115000279zbMath1377.93176OpenAlexW2337756783MaRDI QIDQ5369448

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Publication date: 17 October 2017

Published in: The ANZIAM Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s1446181115000279

zbMATH Keywords

stochastic controldualityapproximate dynamic programmingMarkov decisions

Mathematics Subject Classification ID

Numerical methods involving duality (49M29) Dynamic programming (90C39) Optimal stochastic control (93E20) Financial applications of other theories (91G80) Discrete approximations in optimal control (49M25) Optimality conditions for problems involving randomness (49K45)

Cites Work

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• Pricing American Options: A Duality Approach
• Monte Carlo valuation of American options
• Approximate Dynamic Programming
• Optimal Stopping of Partially Observable Markov Processes: A Filtering-Based Duality Approach
• Valuing American Options by Simulation: A Simple Least-Squares Approach
• Optimal Stochastic Switching under Convexity Assumptions

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