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

Christian Litterer; Zhenjie Ren; Pierre Henry-Labordère

doi:10.1137/15M1019945

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

Christian Litterer, Zhenjie Ren, Pierre Henry-Labordère

Mathematics

Research output: Contribution to journal › Article › peer-review

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

Original language	English
Pages (from-to)	159-182
Journal	SIAM Journal on Financial Mathematics
Volume	7
Issue number	1
DOIs	https://doi.org/10.1137/15M1019945
Publication status	Published - 19 Apr 2016

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A Dual Algorithm for Stochastic Control Problems: Applications to Uncertain Volatility Models and CVA
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Cite this

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