29 citations · 77 across the 9 of their papers we have counts for
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math.PR2011★ 2 cited
Monte Carlo methods via a dual approach for some discrete time stochastic control problems
Lajos Gergely Gyurko, Ben Hambly, Jan Hendrik Witte
We consider a class of discrete time stochastic control problems motivated by some financial applications. We use a pathwise stochastic control approach to provide a dual formulati…
q-fin.CP2011★ 18 cited
Penalty Methods for the Solution of Discrete HJB Equations -- Continuous Control and Obstacle Problems
Jan Hendrik Witte, Christoph Reisinger
In this paper, we present a novel penalty approach for the numerical solution of continuously controlled HJB equations and HJB obstacle problems. Our results include estimates of t…