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

2015/04/23 by Pierre Henry‐Labordère, Pierre Henry-Labordère, Henry-Labordère, Pierre +4 · 1 citation
Decision Sciences · Economics, Econometrics and Finance · Mathematics · Social Sciences · #49N15 #91G60 #93E20 #FOS: Mathematics #Insurance, Mortality, Demography, Risk Management #Probability (math.PR) #Risk and Portfolio Optimization #Stochastic processes and financial applications #math.PR #msc:49N15 #msc:91G60 #msc:93E20

paper · pdf · doi:10.48550/arxiv.1504.06146

21 pages

openalex publication_date 2015/04/23 · arxiv created 2016/02/11 · arxiv updated 2016/02/12 · openalex created_date 2019/06/27 · openalex updated_date 2026/07/28

Abstract

We derive an algorithm in the spirit of Rogers and Davis & Burstein that leads to upper bounds for stochastic control problems. Our bounds complement lower biased estimates recently obtained in the work of Guyon & Henry-Labordère. We evaluate our estimates in numerical examples motivated from mathematical finance.

Citations

• Stochastic control with rough paths

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