Journal article

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

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.

Publication status:: Published

Peer review status:: Peer reviewed

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APA Style

Gyurko, L., Hambly, B., & Witte, J. (2015). Monte Carlo methods via a dual approach for some discrete time stochastic control problems. Mathematical Methods of Operations Research, 81(1), 109–135.

MLA Style

Gyurko, L, et al. “Monte Carlo Methods via a Dual Approach for Some Discrete Time Stochastic Control Problems.” Mathematical Methods of Operations Research, vol. 81, no. 1, 2015, pp. 109–35.

Chicago Style

Gyurko, L, B Hambly, and J Witte. 2015. “Monte Carlo Methods via a Dual Approach for Some Discrete Time Stochastic Control Problems.” Mathematical Methods of Operations Research 81 (1): 109–35.
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Publisher copy:: 10.1007/s00186-014-0488-3

Authors

+ Gyurko, L More by this author

Institution:: University of Oxford
Division:: MPLS
Department:: Mathematical Institute
Role:: Author

+ Hambly, B More by this author

Role:: Author

+ Witte, J More by this author

Role:: Author

Publisher:: Springer Berlin Heidelberg
Journal:: Mathematical Methods of Operations Research More from this journal
Volume:: 81
Issue:: 1
Pages:: 109-135
Publication date:: 2015-02-01
DOI:: 10.1007/s00186-014-0488-3
EISSN:: 1432-5217
ISSN:: 1432-2994

Language:: English
Keywords:: q-fin.CP

math.PR
UUID:: uuid:0bcf30e5-fec3-4599-86c0-8e8aabfbd1fb
Local pid:: pubs:221750
Source identifiers:: 221750
Deposit date:: 2013-11-16
ARK identifier:: ark:/29072/ora_0bcf30e5fec3459986c08e8aabfbd1fb

Terms of use

Copyright holder:: Springer-Verlag Berlin Heidelberg
Copyright date:: 2015
Notes:: Copyright © 2015 Springer-Verlag Berlin Heidelberg

Licence:: Terms and Conditions of Use for Oxford University Research Archive

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