A dual algorithm for stochastic control problems: Applications to Uncertain Volatility Models and CVA
arXiv:1504.06146
Abstract
We derive an algorithm in the spirit of Rogers and Davis & Burstein that leads to upper bounds for stochastic control problems. Our bounds complement lower biased estimates recently obtained in the work of Guyon & Henry-Labordère. We evaluate our estimates in numerical examples motivated from mathematical finance.
21 pages