On Some Special Classes of Stochastic Optimal Control Problems

2021 ◽  
pp. 471-499
Author(s):  
Kok Lay Teo ◽  
Bin Li ◽  
Changjun Yu ◽  
Volker Rehbock
Keyword(s):  
Optimal Control ◽  
Stochastic Optimal Control ◽  
Optimal Control Problems ◽  
Control Problems ◽  
Special Classes

scholarly journals A Novel High Dimensional Fitted Scheme for Stochastic Optimal Control Problems

2021 ◽  
Author(s):  
Christelle Dleuna Nyoumbi ◽  
Antoine Tambue
Keyword(s):  
Differential Equation ◽  
Partial Differential Equation ◽  
Optimal Control ◽  
Finite Difference Method ◽  
Stochastic Optimal Control ◽  
Optimal Control Problems ◽  
Hjb Equation ◽  
High Dimensional ◽  
Control Problems ◽  
Volume Method

AbstractStochastic optimal principle leads to the resolution of a partial differential equation (PDE), namely the Hamilton–Jacobi–Bellman (HJB) equation. In general, this equation cannot be solved analytically, thus numerical algorithms are the only tools to provide accurate approximations. The aims of this paper is to introduce a novel fitted finite volume method to solve high dimensional degenerated HJB equation from stochastic optimal control problems in high dimension ($$ n\ge 3$$ n ≥ 3 ). The challenge here is due to the nature of our HJB equation which is a degenerated second-order partial differential equation coupled with an optimization problem. For such problems, standard scheme such as finite difference method losses its monotonicity and therefore the convergence toward the viscosity solution may not be guarantee. We discretize the HJB equation using the fitted finite volume method, well known to tackle degenerated PDEs, while the time discretisation is performed using the Implicit Euler scheme.. We show that matrices resulting from spatial discretization and temporal discretization are M-matrices. Numerical results in finance demonstrating the accuracy of the proposed numerical method comparing to the standard finite difference method are provided.

scholarly journals A fitted finite volume method for stochastic optimal control problems in finance

2021 ◽  
Vol 6 (4) ◽  
pp. 3053-3079
Author(s):  
Christelle Dleuna Nyoumbi ◽  
◽  
Antoine Tambue ◽  
◽  
Keyword(s):  
Optimal Control ◽  
Finite Volume Method ◽  
Finite Volume ◽  
Stochastic Optimal Control ◽  
Optimal Control Problems ◽  
Control Problems ◽  
Volume Method

scholarly journals Conjugate duality in stochastic controls with delay

2017 ◽  
Vol 49 (4) ◽  
pp. 1011-1036
Author(s):  
Zimeng Wang ◽  
David J. Hodge ◽  
Huiling Le
Keyword(s):  
Optimal Control ◽  
Stochastic Optimal Control ◽  
Optimal Control Problems ◽  
Maximum Principles ◽  
Conjugate Duality ◽  
Control Problems ◽  
Convex Problem ◽  
Stochastic Controls ◽  
The Relationship ◽  
Equations With Delay

AbstractIn this paper we use the method of conjugate duality to investigate a class of stochastic optimal control problems where state systems are described by stochastic differential equations with delay. For this, we first analyse a stochastic convex problem with delay and derive the expression for the corresponding dual problem. This enables us to obtain the relationship between the optimalities for the two problems. Then, by linking stochastic optimal control problems with delay with a particular type of stochastic convex problem, the result for the latter leads to sufficient maximum principles for the former.

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