A numerical algorithm for fully nonlinear HJB equations: An approach by control randomization

Monte Carlo Methods and Applications

Volumn 20, Issue 2, 2014, Pages 145-165

  Kharroubi, Idris ^a   Langrené, Nicolas ^b   Pham, Huyên ^c  

^a CNRS   (France)

^b UNIVERSITÉ PARIS DESCARTES   (France)

^c CREST   (France)

Author keywords

Backward stochastic differential equations; control randomization; empirical regressions; HJB equation; Monte Carlo; uncertain volatility

Indexed keywords

EID: 84902305162     PISSN: 09299629     EISSN: 15693961     Source Type: Journal    
DOI: 10.1515/mcma-2013-0024     Document Type: Article

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