Monte Carlo methods via a dual approach for some discrete time stochastic control problems

2011/12/19 by Lajos Gergely Gyurkó, Lajos Gergely Gyurko, Gyurko, Lajos Gergely +4
Decision Sciences · Economics, Econometrics and Finance · Engineering · Mathematics · #Computational Finance (q-fin.CP) #FOS: Economics and business #FOS: Mathematics #Monetary Policy and Economic Impact #Probability (math.PR) #Reservoir Engineering and Simulation Methods #Risk and Portfolio Optimization #Stochastic processes and financial applications #math.PR #q-fin.CP

paper · pdf · doi:10.48550/arxiv.1112.4351

24 Pages, 6 Figures

arxiv created 2011/12/19 · openalex publication_date 2011/12/19 · arxiv updated 2011/12/20 · openalex created_date 2022/10/03 · openalex updated_date 2026/07/28

Abstract

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 which improves on purely regression based methods. We demonstrate the competitiveness of the method on the example of a gas storage valuation problem.

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