Error Bounds of Constrained Quadratic Functions and Piecewise Affine Inequality Systems

2003 ◽  
Vol 118 (3) ◽  
pp. 601-618 ◽  
Author(s):  
K.F. Ng ◽  
X.Y. Zheng
Keyword(s):  
Error Bounds ◽  
Quadratic Functions ◽  
Piecewise Affine ◽  
Inequality Systems

Nonlinear error bounds for quasiconvex inequality systems

2015 ◽  
Vol 11 (1) ◽  
pp. 107-120 ◽  
Author(s):  
Satoshi Suzuki ◽  
Daishi Kuroiwa
Keyword(s):  
Error Bounds ◽  
Nonlinear Error ◽  
Inequality Systems ◽  
Nonlinear Error Bounds

scholarly journals WHEN ARE SWING OPTIONS BANG-BANG?

2010 ◽  
Vol 13 (06) ◽  
pp. 867-899 ◽  
Author(s):  
OLIVIER BARDOU ◽  
SANDRINE BOUTHEMY ◽  
GILLES PAGÈS
Keyword(s):  
Markov Process ◽  
Stochastic Control ◽  
Error Bounds ◽  
A Priori ◽  
Global Constraints ◽  
Optimal Controls ◽  
Swing Options ◽  
A Priori Error Bounds ◽  
Piecewise Affine ◽  
Backward Procedure

In this paper we investigate a class of swing options with firm constraints in view of the modeling of supply agreements. We show, for a fully general payoff process, that the premium, solution to a stochastic control problem, is concave and piecewise affine as a function of the global constraints of the contract. The existence of bang-bang optimal controls is established for a set of constraints which generates by affinity the whole premium function. When the payoff process is driven by an underlying Markov process, we propose a quantization based recursive backward procedure to price these contracts. A priori error bounds are established, uniformly with respect to the global constraints.

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