科研之友
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摘要
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-Labordere [J. Comput. Finance, 14 (2011), pp. 37-71]. We evaluate our estimates in numerical examples motivated by mathematical finance.
- 出版日期2016
