Monte Carlo methods via a dual approach for some discrete time stochastic control problems
AbstractWe 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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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1112.4351.
Date of creation: Dec 2011
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-01-03 (All new papers)
- NEP-CMP-2012-01-03 (Computational Economics)
- NEP-ORE-2012-01-03 (Operations Research)
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- Aleksandrov, Nikolay & Espinoza, Raphael & GyurkÃ³, Lajos, 2013.
"Optimal oil production and the world supply of oil,"
Journal of Economic Dynamics and Control, Elsevier,
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- Nikolay Aleksandrov & Raphael Espinoza & Lajos Gyurko, 2012. "Optimal Oil Production and the World Supply of Oil," OxCarre Working Papers, Oxford Centre for the Analysis of Resource Rich Economies, University of Oxford 092, Oxford Centre for the Analysis of Resource Rich Economies, University of Oxford.
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