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Information Relaxation and Dual Formulation of Controlled Markov Diffusions

https://doi.org/10.1109/tac.2015.2418672
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1002/9781118029176openalex-snapshot
Approximate Dynamic Programming
inferredcites →https://doi.org/10.1002/9781118453988.ch20openalex-snapshot
Bounds for Markov Decision Processes
inferredcites →https://doi.org/10.1007/0-387-31071-1openalex-snapshot
Controlled Markov Processes and Viscosity Solutions
inferredcites →https://doi.org/10.1007/3-540-28329-3openalex-snapshot
The Malliavin Calculus and Related Topics
inferredcites →https://doi.org/10.1007/978-0-387-21617-1openalex-snapshot
Monte Carlo Methods in Financial Engineering
inferredcites →https://doi.org/10.1007/978-1-4419-1642-6_16openalex-snapshot
Control of Diffusions via Linear Programming
inferredcites →https://doi.org/10.1007/978-1-4613-0007-6openalex-snapshot
Numerical Methods for Stochastic Control Problems in Continuous Time
inferredcites →https://doi.org/10.1007/978-1-84628-690-2openalex-snapshot
Simulation-based Algorithms for Markov Decision Processes
inferredcites →https://doi.org/10.1016/0022-0531(71)90038-xopenalex-snapshot
Optimum consumption and portfolio rules in a continuous-time model
inferredcites →https://doi.org/10.1016/0022-0531(91)90123-lopenalex-snapshot
Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case
inferredcites →https://doi.org/10.1016/b978-0-12-780850-5.50044-7openalex-snapshot
LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING
inferredcites →https://doi.org/10.1016/j.orl.2012.08.010openalex-snapshot
Linear–quadratic control and information relaxations
inferredcites →https://doi.org/10.1016/s0165-1889(02)00051-9openalex-snapshot
Monte Carlo computation of optimal portfolios in complete markets
inferredcites →https://doi.org/10.1016/s0304-405x(99)00004-5openalex-snapshot
Transaction costs and predictability: some utility cost calculations
inferredcites →https://doi.org/10.1017/s0022109017000345openalex-snapshot
Dynamic Portfolio Choice with Linear Rebalancing Rules
inferredcites →https://doi.org/10.1080/14697688.2014.971520openalex-snapshot
Fast estimation of true bounds on Bermudan option prices under jump-diffusion processes
inferredcites →https://doi.org/10.1080/17442509208833790openalex-snapshot
A Deterministic Approach To Stochastic Optimal Control With Application To Anticipative Control
inferredcites →https://doi.org/10.1093/imamci/6.3.259openalex-snapshot
Anticipative LQG Control
inferredcites →https://doi.org/10.1093/rfs/hhi019openalex-snapshot
A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability
inferredcites →https://doi.org/10.1093/rfs/hhl001openalex-snapshot
Portfolio Selection in Stochastic Environments
inferredcites →https://doi.org/10.1109/9.402239openalex-snapshot
A new proof of the discrete-time LQG optimal control theorems
inferredcites →https://doi.org/10.1109/cdc.1991.261728openalex-snapshot
Anticipative stochastic control
inferredcites →https://doi.org/10.1109/cdc.2012.6426037openalex-snapshot
Parameterized penalties in the dual representation of Markov decision processes
inferredcites →https://doi.org/10.1111/1467-9965.02010openalex-snapshot
Monte Carlo valuation of American options
inferredcites →https://doi.org/10.1111/j.1467-9965.2008.00357.xopenalex-snapshot
TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON‐NESTED MONTE CARLO
inferredcites →https://doi.org/10.1137/0328056openalex-snapshot
Numerical Methods for Stochastic Control Problems in Continuous Time
inferredcites →https://doi.org/10.1137/050642885openalex-snapshot
Pathwise Stochastic Optimal Control
inferredcites →https://doi.org/10.1137/120896761openalex-snapshot
Dynamic Portfolio Execution and Information Relaxations
inferredcites →https://doi.org/10.1214/aoap/1177005576openalex-snapshot
Convex Duality in Constrained Portfolio Optimization
inferredcites →https://doi.org/10.1287/mnsc.1040.0258openalex-snapshot
Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options
inferredcites →https://doi.org/10.1287/mnsc.1110.1377openalex-snapshot
Dynamic Portfolio Optimization with Transaction Costs: Heuristics and Dual Bounds
inferredcites →https://doi.org/10.1287/opre.1030.0070openalex-snapshot
Pricing American Options: A Duality Approach
inferredcites →https://doi.org/10.1287/opre.1060.0279openalex-snapshot
Evaluating Portfolio Policies: A Duality Approach
inferredcites →https://doi.org/10.1287/opre.1090.0768openalex-snapshot
An Approximate Dynamic Programming Approach to Benchmark Practice-Based Heuristics for Natural Gas Storage Valuation
inferredcites →https://doi.org/10.1287/opre.1090.0796openalex-snapshot
Information Relaxations and Duality in Stochastic Dynamic Programs
inferredcites →https://doi.org/10.1287/opre.2013.1180openalex-snapshot
Robust Portfolio Control with Stochastic Factor Dynamics
inferredcites →https://doi.org/10.1287/opre.2014.1322openalex-snapshot
Information Relaxations, Duality, and Convex Stochastic Dynamic Programs
inferredcites →https://doi.org/10.1287/opre.51.6.850.24925openalex-snapshot
The Linear Programming Approach to Approximate Dynamic Programming
inferredcites →https://doi.org/10.1561/2400000001openalex-snapshot
Performance Bounds and Suboptimal Policies for Multi-Period Investment
inferredcites →https://doi.org/10.2139/ssrn.1612336openalex-snapshot
Fast Computation of Upper Bounds for American-Style Options Without Nested Simulation
inferredcites →https://doi.org/10.2307/1926559openalex-snapshot
Lifetime Portfolio Selection By Dynamic Stochastic Programming
inferredcites →https://doi.org/10.2307/1926560openalex-snapshot
Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case
inferredcites →https://doi.org/10.2307/2938261openalex-snapshot
Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models
inferredcites →https://doi.org/10.3386/w15205openalex-snapshot
Dynamic Trading with Predictable Returns and Transaction Costs

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

inferred← citeshttps://doi.org/10.2139/ssrn.3416994openalex-extracted
Information Relaxation and The Duality-Based Dynamic Programming (DDP)
inferred← citeshttps://doi.org/10.2139/ssrn.4213956openalex-extracted
Multi-agent Equilibrium Model with Heterogeneous Views on Fundamental Risks in Incomplete Market
inferred← citeshttps://doi.org/10.1007/s00780-022-00480-zopenalex-snapshot
Solving optimal stopping problems under model uncertainty via empirical dual optimisation
inferred← citeshttps://doi.org/10.1016/j.ifacol.2017.08.2024openalex-snapshot
An Efficient Regression Approach to Solving the Dual Problems of Dynamic Programs
inferred← citeshttps://doi.org/10.1080/14697688.2014.971520openalex-snapshot
Fast estimation of true bounds on Bermudan option prices under jump-diffusion processes
inferred← citeshttps://doi.org/10.1109/tac.2017.2731817openalex-snapshot
Weakly Coupled Dynamic Program: Information and Lagrangian Relaxations
inferred← citeshttps://doi.org/10.1109/tac.2017.2747405openalex-snapshot
Solving the Dual Problems of Dynamic Programs via Regression
inferred← citeshttps://doi.org/10.1109/tac.2019.2942528openalex-snapshot
Information Relaxation Bounds for Partially Observed Markov Decision Processes
inferred← citeshttps://doi.org/10.1287/mnsc.2015.2153openalex-snapshot
Robust Multiarmed Bandit Problems
inferred← citeshttps://doi.org/10.1287/moor.2022.1306openalex-snapshot
Solving Optimal Stopping Problems via Randomization and Empirical Dual Optimization
inferred← citeshttps://doi.org/10.1287/opre.2020.0464openalex-snapshot
Information Relaxation and a Duality-Driven Algorithm for Stochastic Dynamic Programs
inferred← citeshttps://doi.org/10.1561/2400000027openalex-snapshot
Information Relaxations and Duality in Stochastic Dynamic Programs: A Review and Tutorial
inferred← citeshttps://doi.org/10.3182/20140824-6-za-1003.00340openalex-snapshot
Dual Formulation of Controlled Markov Diffusions and Its Application
inferred← citeshttps://doi.org/10.5555/2675983.2675997openalex-snapshot
True martingales for upper bounds on Bermudan option prices under jump-diffusion processes
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