A Dual Algorithm for Stochastic Control Problems: Applications to Uncertain Volatility Models and CVA

Pierre Henry-Labordère, Christian Litterer, Zhenjie Ren. A Dual Algorithm for Stochastic Control Problems: Applications to Uncertain Volatility Models and CVA. SIAM J. Financial Math., 7(1):159-182, 2016. [doi]

Abstract

Abstract is missing.