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Bias-Corrected Least-Squares Monte Carlo for Utility Based Optimal Stochastic Control Problems
22/22 checkable references clean · checked 2026-08-27
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The 22 checked references that resolve
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A Probabilistic Numerical Method for Optimal Multiple Switching Problems in High Dimension
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Pricing Bermudan options by nonparametric regression: optimal rates of convergence for lower estimates
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Regression Methods for Stochastic Control Problems and Their Convergence Analysis
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Age-dependent investing: Optimal funding and investment strategies in defined contribution pension plans when members are rational life cycle financial planners
resolves10.1093/rfs/hhi019
A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability
resolves10.1016/j.cor.2013.04.008
A simulation-and-regression approach for stochastic dynamic programs with endogenous state variables
resolves10.1016/j.jedc.2012.01.012
Lifetime investment and consumption using a defined-contribution pension scheme
resolves10.1016/j.ejor.2017.05.048
An improved least squares Monte Carlo valuation method based on heteroscedasticity
resolves10.1093/rfs/hhq045
Solving Consumption and Portfolio Choice Problems: The State Variable Decomposition Method
resolves10.1515/mcma-2013-0024
A numerical algorithm for fully nonlinear HJB equations:
An approach by control randomization
resolves10.1016/j.ejor.2016.06.020
Comparison of least squares Monte Carlo methods with applications to energy real options
resolves10.1016/j.orl.2017.05.010
Relationship between least squares Monte Carlo and approximate linear programming
resolves10.1137/S0040585X97981093
On an Effective Solution of the Optimal Stopping Problem for Random Walks
resolves10.1080/14697688.2018.1524155
Dynamic portfolio optimization with liquidity cost and market impact: a simulation-and-regression approach
resolves10.1111/j.1467-9868.2008.00669.x
Non-Parametric Heteroscedastic Transformation Regression Models for Skewed Data With an Application to Health Care Costs
The 15 references without a DOI — listed, not checked
no DOI — not checkedAssessment of Policy Changes to Means-Tested Age Pension Using the Expected Utility Model: Implication for Decisions in Retirement
no DOI — not checkedref3
no DOI — not checkedOptimal Consumption, Investment and Housing with Means-tested Public Pension in Retirement
no DOI — not checkedModeling Transformed Health Care Cost with Unknown Heteroskedasticity
no DOI — not checkedSwitching Surfaces for Optimal Natural Resource Extraction under Uncertainty
no DOI — not checkedDynamic portfolio choice: a simulation-and-regression approach
no DOI — not checkedSimulation for American Options: Regression Now or Regression Later?
no DOI — not checkedEstimating regression models with multiplicative heteroscedasticity
no DOI — not checkedA Covariance Regression Model
no DOI — not checkedDiscrete time approximation of fully nonlinear HJB equations via BSDEs with nonpositive jumps
no DOI — not checkedAnnuitization and asset allocation with HARA utility
no DOI — not checkedNew Regression Monte Carlo Methods for High-dimensional Real Options Problems in Minerals industry
no DOI — not checkedEstimation of Heteroscedasticity in Regression Analysis
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