Type: Seminar

Modified: Fri 13 Dec 2019 1638

Distribution: World

Expiry: 6 Dec 2019

CalTitle1: Stochastics and Finance Seminar: Chunxi Jiao -- Computable primal and dual bounds for some stochastic control problems

Auth: aksamit@paksamit.pc (assumed)

Speaker: Chunxi Jiao (University of Sydney) Title: Computable primal and dual bounds for some stochastic control problems We investigate the linear programming framework for stochastic control with a view towards the numerical implementation (Lasserre’s hierarchy) for obtaining pointwise bounds and global bounding functions for the value function. The primal minimisation corresponds to the well-studied moment problem based upon a set of necessary equality constraints on the occupation and boundary measures, whereas the dual maximisation is built on a set of sufficient inequality constraints on the test polynomial function with a flexible choice of optimality criteria. Under suitable technical conditions, optimised bounds are convergent to the value function as the polynomial degree tends to infinity. The dual maximisation is particularly effective as its single implementation yields a remarkably tight global bound in the form of polynomial function over the whole problem domain, and with a suitable objective function, one may improve the global bound on regions of interest. http://www.maths.usyd.edu.au/u/SemConf/Stochastics_Finance/seminar.html