scholarly journals Monte Carlo Methods for Controller Approximation and Stabilization in Nonlinear Stochastic Optimal Control**This work was supported by AFOSR/AOARD via AOARD- 144042. A.N. Bishop is also supported by NICTA and the Australian Research Council (ARC) via a Discovery Early Career Researcher Award (DE-120102873). He is also an adjunct Fellow at the Australian National University. [email protected].

2015 ◽  
Vol 48 (28) ◽  
pp. 811-816
Author(s):  
Francesco Bertoli ◽  
Adrian N. Bishop
Keyword(s):  
Optimal Control ◽  
Monte Carlo ◽  
Monte Carlo Methods ◽  
Stochastic Optimal Control ◽  
Research Council ◽  
Early Career ◽  
Australian Research Council ◽  
National University ◽  
Early Career Researcher

Sequential Monte Carlo methods for diffusion processes

2009 ◽  
Vol 465 (2112) ◽  
pp. 3709-3727 ◽  
Author(s):  
Ajay Jasra ◽  
Arnaud Doucet
Keyword(s):  
Optimal Control ◽  
Monte Carlo ◽  
Option Pricing ◽  
Monte Carlo Methods ◽  
Sequential Monte Carlo ◽  
Diffusion Processes ◽  
Time Discretization ◽  
Initial Condition ◽  
Sequential Monte Carlo Methods ◽  
Low Dimensional

In this paper, we show how to use sequential Monte Carlo methods to compute expectations of functionals of diffusions at a given time and the gradients of these quantities w.r.t. the initial condition of the process. In some cases, via the exact simulation of the diffusion, there is no time discretization error, otherwise the methods use Euler discretization. We illustrate our approach on both high- and low-dimensional problems from optimal control and establish that our approach substantially outperforms standard Monte Carlo methods typically adopted in the literature. The methods developed here are appropriate for solving a certain class of partial differential equations as well as for option pricing and hedging.

MODELING OF A TURBULENT ETHYLENE/AIR JET FLAME USING HYBRID FINITE VOLUME/MONTE CARLO METHODS

2009 ◽  
Vol 1 (1) ◽  
pp. 37-53 ◽  
Author(s):  
Ranjan S. Mehta ◽  
Anquan Wang ◽  
Michael F. Modest ◽  
Daniel C. Haworth
Keyword(s):  
Monte Carlo ◽  
Finite Volume ◽  
Monte Carlo Methods ◽  
Jet Flame ◽  
Air Jet
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