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摘要翻译：
考虑了一类由金融应用引起的离散时间随机控制问题。我们使用一种路径随机控制方法来提供问题的对偶形式。这使得我们能够开发一种数值技术来获得价值函数的估计，它改进了纯粹基于回归的方法。通过一个储气库估价问题的实例，验证了该方法的有效性。
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英文标题：
《Monte Carlo methods via a dual approach for some discrete time
stochastic control problems》
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作者：
Lajos Gergely Gyurko, Ben Hambly, Jan Hendrik Witte
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最新提交年份：
2011
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分类信息：
一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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英文摘要：
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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PDF链接：
https://arxiv.org/pdf/1112.4351
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