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

Lajos Gergely Gyurko, Ben Hambly and Jan Hendrik Witte

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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.

Date: 2011-12
New Economics Papers: this item is included in nep-cmp and nep-ore
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Citations: View citations in EconPapers (3)

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