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arXiv · 1112.4351

Monte Carlo methods via a dual approach for some discrete time stochastic control problems

Lajos Gergely Gyurko·Ben Hambly·Jan Hendrik Witte
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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.

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Lajos Gergely Gyurko, Ben Hambly, Jan Hendrik Witte. 2011-12-19. Monte Carlo methods via a dual approach for some discrete time stochastic control problems. https://arxiv.org/abs/1112.4351

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