Chaiworawitkul, Sakda; Hagan, Patrick S.; Lesniewski, Andrew - arXiv.org - 2014
This is the first in a series of papers in which we study an efficient approximation scheme for solving the Hamilton-Jacobi-Bellman equation for multi-dimensional problems in stochastic control theory. The method is a combination of a WKB style asymptotic expansion of the value function, which...