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Advanced Simulation-Based Methods for Optimal Stopping and Control

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Cover of 'Advanced Simulation-Based Methods for Optimal Stopping and Control'

Table of Contents

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    Book Overview
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    Chapter 1 Introduction
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    Chapter 2 Elementary Monte Carlo Methods
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    Chapter 3 Variance Reduction for SDEs
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    Chapter 4 Multilevel Methods
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    Chapter 5 General Problem Setups
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    Chapter 6 Primal Approximation Methods for Optimal Stopping
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    Chapter 7 Stochastic Policy Iteration Methods
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    Chapter 8 Regression Methods for Markovian Control Problems
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    Chapter 9 Duality for Optimal Stopping
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    Chapter 10 Duality for Multiple Stopping
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    Chapter 11 Dual Methods for General Optimal Control
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    Chapter 12 Dual Monte Carlo Algorithms for Optimal Stopping
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    Chapter 13 Pricing Bermudan Options via Consumption Processes
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    Chapter 14 Dual Monte Carlo Algorithms for Optimal Control
Attention for Chapter 3: Variance Reduction for SDEs
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