A dual algorithm for stochastic control problems : Applications to Uncertain Volatility Models and CVA

Abstract

We derive an algorithm in the spirit of Rogers [SIAM J. Control Optim., 46 (2007), pp. 1116--1132] and Davis and Burstein [Stochastics Stochastics Rep., 40 (1992), pp. 203--256] that leads to upper bounds for stochastic control problems. Our bounds complement lower biased estimates recently obtained in Guyon and Henry-Labordère [J. Comput. Finance, 14 (2011), pp. 37--71]. We evaluate our estimates in numerical examples motivated by mathematical finance. Read More: http://epubs.siam.org/doi/10.1137/15M1019945

Metadata

Item Type:	Article
Authors/Creators:	Litterer, Christian (christian.litterer@york.ac.uk) Ren, Zhenjie Henry-Labordère, Pierre
Copyright, Publisher and Additional Information:	© 2016, Society for Industrial and Applied Mathematics. Uploaded in accordance with the publisher’s self-archiving policy. Further copying may not be permitted; contact the publisher for details
Dates:	Accepted: 11 February 2016 Published: 19 April 2016
Institution:	The University of York
Academic Units:	The University of York > Faculty of Sciences (York) > Mathematics (York)
Depositing User:	Pure (York)
Date Deposited:	18 May 2016 12:26
Last Modified:	31 Mar 2024 00:07
Published Version:	https://doi.org/10.1137/15M1019945
Status:	Published
Refereed:	Yes
Identification Number:	https://doi.org/10.1137/15M1019945

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A dual algorithm for stochastic control problems : Applications to Uncertain Volatility Models and CVA

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