Related papers: Dual control Monte Carlo method for tight bounds o…
We apply the hybrid Monte Carlo (HMC) algorithm to the financial time sires analysis of the stochastic volatility (SV) model for the first time. The HMC algorithm is used for the Markov chain Monte Carlo (MCMC) update of volatility…
In this paper we present a new approach to control variates for improving computational efficiency of Ensemble Monte Carlo. We present the approach using simulation of paths of a time-dependent nonlinear stochastic equation. The core idea…
We consider stochastic impulse control problems when the impulses cost functions are arbitrary. We use the dynamic programming principle and viscosity solutions approach to show that the value function is a unique viscosity solution for the…
In this review we discuss, from a unified point of view, a variety of Monte Carlo methods used to solve eigenvalue problems in statistical mechanics and quantum mechanics. Although the applications of these methods differ widely, the…
We propose a control variate multilevel Monte Carlo method for the kinetic BGK model of the Boltzmann equation subject to random inputs. The method combines a multilevel Monte Carlo technique with the computation of the optimal control…
The problem of portfolio optimization when stochastic factors drive returns and volatilities has been studied in previous works by the authors. In particular, they proposed asymptotic approximations for value functions and optimal…
We study the well-posedness of Hamilton-Jacobi-Bellman equations on subsets of $\mathbb{R}^d$ in a context without boundary conditions. The Hamiltonian is given as the supremum over two parts: an internal Hamiltonian depending on an…
Accurately and efficiently estimating system performance under uncertainty is paramount in power system planning and operation. Monte Carlo simulation is often used for this purpose, but convergence may be slow, especially when detailed…
This work investigates the optimal control problem for reflected McKean-Vlasov SDEs and the viscosity solutions to Hamilton-Jacobi-Bellman(HJB) equations on the Wasserstein space in terms of intrinsic derivative. It follows from the flow…
We propose a new framework for Hamiltonian Monte Carlo (HMC) on truncated probability distributions with smooth underlying density functions. Traditional HMC requires computing the gradient of potential function associated with the target…
We propose a numerical recipe for risk evaluation defined by a backward stochastic differential equation. Using dual representation of the risk measure, we convert the risk valuation to a stochastic control problem where the control is a…
We address the calculation of dynamical correlation functions for many fermion systems at zero temperature, using the auxiliary-field quantum Monte Carlo method. The two-dimensional Hubbard hamiltonian is used as a model system. Although…
Many real world stochastic control problems suffer from the "curse of dimensionality". To overcome this difficulty, we develop a deep learning approach that directly solves high-dimensional stochastic control problems based on Monte-Carlo…
In this paper, we consider the portfolio optimization problem in a financial market under a general utility function. Empirical results suggest that if a significant market fluctuation occurs, invested wealth tends to have a notable change…
We study a class of controlled rough differential equations. It is shown that the value function satisfies a HJB type equation; we also establish a form of the Pontryagin maximum principle. Deterministic problems of this type arise in the…
A method for the multifidelity Monte Carlo (MFMC) estimation of statistical quantities is proposed which is applicable to computational budgets of any size. Based on a sequence of optimization problems each with a globally minimizing…
We introduce a novel stochastic volatility model where the squared volatility of the asset return follows a Jacobi process. It contains the Heston model as a limit case. We show that the joint density of any finite sequence of log returns…
This paper investigates the valuation of variable annuity contracts with an early surrender option under non-Markovian models. Moreover, policyholders are provided with guaranteed minimum maturity and death benefits to protect against the…
We present two diagrammatic Monte Carlo methods for quantum systems coupled with harmonic baths, whose dynamics are described by integro-differential equations. The first approach can be considered as a reformulation of Dyson series, and…
This paper studies a finite horizon utility maximization problem on excessive consumption under a drawdown constraint. Our control problem is an extension of the one considered in Bahman et al. (2019) to the model with a finite horizon and…