Monte Carlo methods via a dual approach for some discrete time stochastic control problems
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 whic...
| Main Authors: | , , |
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| Formato: | Journal article |
| Idioma: | English |
| Publicado: |
Springer Berlin Heidelberg
2015
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