Belomestny, Denis; Kolodko, Anastasija A.; … - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2009
In this paper we develop several regression algorithms for solvinggeneral stochastic optimal control problems via Monte Carlo. Thistype of algorithms is particularly useful for problems with a highdimensionalstate space and complex dependence structure of the underlyingMarkov process with...