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Mathematical Methods of Operations Research

, Volume 81, Issue 1, pp 109–135 | Cite as

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

  • Lajos Gergely GyurkóEmail author
  • Ben M. Hambly
  • Jan Hendrik Witte
Original Article

Abstract

We consider a class of discrete time stochastic control problems motivated by a range of financial applications. We develop a numerical technique based on the dual formulation of these problems to obtain 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.

Keywords

Stochastic control Dual formulation Monte Carlo Least squares regression 

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Copyright information

© Springer-Verlag Berlin Heidelberg 2014

Authors and Affiliations

  • Lajos Gergely Gyurkó
    • 1
    Email author
  • Ben M. Hambly
    • 1
  • Jan Hendrik Witte
    • 1
  1. 1.Mathematical Institute, University of Oxford, Andrew Wiles BuildingRadcliffe Observatory QuarterOxfordUK

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