Discrete-time probabilistic approximation of path-dependent stochastic control problems

@inproceedings{Tan2014DiscretetimePA,
  title={Discrete-time probabilistic approximation of path-dependent stochastic control problems},
  author={Xiaolu Tan},
  year={2014}
}
We give a probabilistic interpretation of the Monte Carlo scheme proposed by Fahim, Touzi and Warin [Ann. Appl. Probab. 21 (2011) 1322–1364] for fully nonlinear parabolic PDEs, and hence generalize it to the path-dependent (or non-Markovian) case for a general stochastic control problem. A general convergence result is obtained by a weak convergence method in the spirit of Kushner and Dupuis [Numerical Methods for Stochastic Control Problems in Continuous Time (1992) Springer]. We also get a… CONTINUE READING
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