Time-reversal solution of BSDEs in stochastic optimal control: a linear quadratic study
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| Format: | Preprint |
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2024
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| _version_ | 1866909533249470464 |
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| author | Mei, Yuhang Taghvaei, Amirhossein |
| author_facet | Mei, Yuhang Taghvaei, Amirhossein |
| contents | This paper addresses the numerical solution of backward stochastic differential equations (BSDEs) arising in stochastic optimal control. Specifically, we investigate two BSDEs: one derived from the Hamilton-Jacobi-Bellman equation and the other from the stochastic maximum principle. For both formulations, we analyze and compare two numerical methods. The first utilizes the least-squares Monte-Carlo (LSMC) approach for approximating conditional expectations, while the second leverages a time-reversal (TR) of diffusion processes. Although both methods extend to nonlinear settings, our focus is on the linear-quadratic case, where analytical solutions provide a benchmark. Numerical results demonstrate the superior accuracy and efficiency of the TR approach across both BSDE representations, highlighting its potential for broader applications in stochastic control. |
| format | Preprint |
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arxiv_https___arxiv_org_abs_2410_04615 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Time-reversal solution of BSDEs in stochastic optimal control: a linear quadratic study Mei, Yuhang Taghvaei, Amirhossein Optimization and Control This paper addresses the numerical solution of backward stochastic differential equations (BSDEs) arising in stochastic optimal control. Specifically, we investigate two BSDEs: one derived from the Hamilton-Jacobi-Bellman equation and the other from the stochastic maximum principle. For both formulations, we analyze and compare two numerical methods. The first utilizes the least-squares Monte-Carlo (LSMC) approach for approximating conditional expectations, while the second leverages a time-reversal (TR) of diffusion processes. Although both methods extend to nonlinear settings, our focus is on the linear-quadratic case, where analytical solutions provide a benchmark. Numerical results demonstrate the superior accuracy and efficiency of the TR approach across both BSDE representations, highlighting its potential for broader applications in stochastic control. |
| title | Time-reversal solution of BSDEs in stochastic optimal control: a linear quadratic study |
| topic | Optimization and Control |
| url | https://arxiv.org/abs/2410.04615 |