A Recursive Dual Method for Stochastic Control and Its Applications in Finance


We use the information relaxation technique to develop a value-and-policy iterative method to solve SDP problems. Each iteration generates a confidence interval estimate for the true value function so we can use the gap... [ view full abstract ]


  1. Nan Chen (The Chinese University of Hong Kong)
  2. Xiang Ma (The Chinese University of Hong Kong)

Topic Areas

Computational Finance , Optimal Control , Optimal Execution


WE-A-SW » Computational Finance (11:30 - Wednesday, 18th July, Swift)

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