TY - GEN
T1 - A probabilistic max-plus numerical method for solving stochastic control problems
AU - Akian, Marianne
AU - Fodjo, Eric
N1 - Publisher Copyright:
© 2016 IEEE.
PY - 2016/12/27
Y1 - 2016/12/27
N2 - We consider fully nonlinear Hamilton-Jacobi-Bellman equations associated to diffusion control problems involving a finite set-valued (or switching) control and possibly a continuum-valued control. We construct a lower complexity probabilistic numerical algorithm by combining the idempotent expansion properties obtained by McEneaney, Kaise and Han (2011) for solving such problems with a numerical probabilistic method such as the one proposed by Fahim, Touzi and Warin (2011) for solving some fully nonlinear parabolic partial differential equations. Numerical tests on a small example of pricing and hedging an option are presented.
AB - We consider fully nonlinear Hamilton-Jacobi-Bellman equations associated to diffusion control problems involving a finite set-valued (or switching) control and possibly a continuum-valued control. We construct a lower complexity probabilistic numerical algorithm by combining the idempotent expansion properties obtained by McEneaney, Kaise and Han (2011) for solving such problems with a numerical probabilistic method such as the one proposed by Fahim, Touzi and Warin (2011) for solving some fully nonlinear parabolic partial differential equations. Numerical tests on a small example of pricing and hedging an option are presented.
U2 - 10.1109/CDC.2016.7799411
DO - 10.1109/CDC.2016.7799411
M3 - Conference contribution
AN - SCOPUS:85010807509
T3 - 2016 IEEE 55th Conference on Decision and Control, CDC 2016
SP - 7392
EP - 7397
BT - 2016 IEEE 55th Conference on Decision and Control, CDC 2016
PB - Institute of Electrical and Electronics Engineers Inc.
T2 - 55th IEEE Conference on Decision and Control, CDC 2016
Y2 - 12 December 2016 through 14 December 2016
ER -