Abstract : We consider fully nonlinear Hamilton-Jacobi-Bellman equations associated to diffusion control problems involving a finite set-valued (or switching) control and possibly a continuum-valued control. We construct a lower complexity probabilistic numerical algorithm by combining the idempotent expansion properties obtained by McEneaney, Kaise and Han (2011) for solving such problems with a numerical probabilistic method such as the one proposed by Fahim, Touzi and Warin (2011) for solving some fully nonlinear parabolic partial differential equations. Numerical tests on a small example of pricing and hedging an option are presented.
Type de document :
Communication dans un congrès
55th Conference on Decision and Control (CDC 2016), Dec 2016, Las Vegas, United States
https://hal.inria.fr/hal-01425344
Contributeur : Marianne Akian
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Soumis le : mardi 3 janvier 2017 - 15:16:55
Dernière modification le : jeudi 12 avril 2018 - 01:50:21
Marianne Akian, Eric Fodjo. A probabilistic max-plus numerical method for solving stochastic control problems. 55th Conference on Decision and Control (CDC 2016), Dec 2016, Las Vegas, United States. 〈hal-01425344〉
