Maturity randomization for stochastic control problems

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dc.creatorBouchard, Bruno
dc.creatorKaroui, Nicole El
dc.creatorTouzi, Nizar
dc.date2006-02-21
dc.date.accessioned2026-07-07T12:11:15Z
dc.date.available2026-07-07T12:11:15Z
dc.descriptionWe study a maturity randomization technique for approximating optimal control problems. The algorithm is based on a sequence of control problems with random terminal horizon which converges to the original one. This is a generalization of the so-called Canadization procedure suggested by Carr [Review of Financial Studies II (1998) 597--626] for the fast computation of American put option prices. In addition to the original application of this technique to optimal stopping problems, we provide an application to another problem in finance, namely the super-replication problem under stochastic volatility, and we show that the approximating value functions can be computed explicitly.
dc.descriptionPublished at http://dx.doi.org/10.1214/105051605000000593 in the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org)
dc.identifierhttps://arxiv.org/abs/math/0602462
dc.identifierhttp://arxiv.org/abs/math/0602462
dc.identifierAnnals of Applied Probability 2005, Vol. 15, No. 4, 2575-2605
dc.identifierdoi:10.1214/105051605000000593
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/210164
dc.subjectProbability
dc.subjectComputational Finance
dc.subject93E20 (Primary) 35C15, 91B28 (Secondary)
dc.titleMaturity randomization for stochastic control problems
dc.typetext

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