A Backward Simulation Method for Stochastic Optimal Control Problems

Author:

Shen Zhiyi,Weng Chengguo

Publisher

Elsevier BV

Reference24 articles.

1. The existence of optimal bang-bang controls for gmxb contracts;Parsiad Azimzadeh;SIAM Journal on Financial Mathematics,2015

2. R�mi Munos, and Damien Reboul-Salze. Numerical methods for the pricing of swing options: a stochastic control approach;Christophe Barrera-Esteve;Methodology and computing in applied probability,2006

3. Pricing bermudan options by nonparametric regression: optimal rates of convergence for lower estimates;Denis Belomestny;Finance and Stochastics,2011

4. Regression methods in pricing american and bermudan options using consumption processes;Denis Belomestny;Quantitative Finance,2009

5. Regression methods for stochastic control problems and their convergence analysis;Denis Belomestny;SIAM Journal on Control and Optimization,2010

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