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A probabilistic max-plus numerical method for solving stochastic control problems
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.
https://hal.inria.fr/hal-01425344
Contributor : Marianne Akian <>
Submitted on : Tuesday, January 3, 2017 - 3:16:55 PM
Last modification on : Friday, April 30, 2021 - 9:56:48 AM
Contributor : Marianne Akian <>
Submitted on : Tuesday, January 3, 2017 - 3:16:55 PM
Last modification on : Friday, April 30, 2021 - 9:56:48 AM
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