In this paper, we study a stochastic optimal control for max-min utility admitting volatility ambiguity. By standard assumptions, we establish the dynamic programming principle and the related Hamilton-Jacobi-Bellman (HJB) equation. Finally, we show that the value function is a viscosity...

We derive an algorithm in the spirit of Rogers and Davis & Burstein that leads to upper bounds for stochastic control problems. Our bounds complement lower biased estimates recently obtained in Guyon & Henry-Labordère. We evaluate our estimates in numerical examples motivated from mathematical...

We aim to calibrate stochastic volatility models from option prices. We develop an optimal control approach to recover the risk neutral drift term of stochastic volatility. An efficient numerical algorithm is given. Numerical results and empirical studies are presented to demonstrate our...