Monte Carlo methods via a dual approach for some discrete time stochastic control problems
Probability
2011-12-20 v1 Computational Finance
Abstract
We consider a class of discrete time stochastic control problems motivated by some financial applications. We use a pathwise stochastic control approach to provide a dual formulation of the problem. This enables us to develop a numerical technique for obtaining an estimate of the value function which improves on purely regression based methods. We demonstrate the competitiveness of the method on the example of a gas storage valuation problem.
Cite
@article{arxiv.1112.4351,
title = {Monte Carlo methods via a dual approach for some discrete time stochastic control problems},
author = {Lajos Gergely Gyurko and Ben Hambly and Jan Hendrik Witte},
journal= {arXiv preprint arXiv:1112.4351},
year = {2011}
}
Comments
24 Pages, 6 Figures