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Journal | SIAM Journal on Financial Mathematics |
---|---|

Date | Accepted/In press - 11 Feb 2016 |

Date | Published (current) - 19 Apr 2016 |

Issue number | 1 |

Volume | 7 |

Pages (from-to) | 159-182 |

Original language | English |

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

Read More: http://epubs.siam.org/doi/10.1137/15M1019945

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