Eintrag in der Universitätsbibliographie der TU Chemnitz
Volltext zugänglich unter
URN: urn:nbn:de:bsz:ch1-qucosa2-792270
Blechschmidt, Jan
Jensen, Max (Dr.) ; Schmidt, Thorsten (Prof. Dr.) (Gutachter)
Numerical Methods for Stochastic Control Problems with Applications in Financial Mathematics
Numerische Verfahren für stochastische Regelungsprobleme mit Anwendungen in der Finanzmathematik
Kurzfassung in englisch
This thesis considers classical methods to solve stochastic control problems and valuation problems from financial mathematics numerically.To this end, (linear) partial differential equations (PDEs) in non-divergence form or the optimality conditions known as the (nonlinear) Hamilton-Jacobi-Bellman (HJB) equations are solved by means of finite differences, volumes and elements.
We consider all of these three approaches in detail after a thorough introduction to stochastic control problems and discuss various solution terms including classical solutions, strong solutions, weak solutions and viscosity solutions.
A particular role in this thesis play degenerate problems.
Here, a new model for the optimal control of an energy storage facility is developed which extends the model introduced in [Chen, Forsyth (2007)].
This four-dimensional HJB equation is solved by the classical finite difference Kushner-Dupuis scheme [Kushner, Dupuis (2001)] and a semi-Lagrangian variant which are both discussed in detail.
Additionally, a convergence proof of the standard scheme in the setting of parabolic HJB equations is given.
Finite volume schemes are another classical method to solve partial differential equations numerically.
Sharing similarities to both finite difference and finite element schemes we develop a vertex-centered dual finite volume scheme.
We discuss convergence properties and apply the scheme to the solution of HJB equations, which has not been done in such a broad context, to the best of our knowledge.
Astonishingly, this is one of the first times the finite volume approach is systematically discussed for the solution of HJB equations.
Furthermore, we give many examples which show advantages and disadvantages of the approach.
Finally, we investigate novel tailored non-conforming finite element approximations of second-order PDEs in non-divergence form, utilizing finite-element Hessian recovery strategies to approximate second derivatives in the equation.
We study approximations with both continuous and discontinuous trial functions.
Of particular interest are a-priori and a-posteriori error estimates as well as adaptive finite element methods.
In numerical experiments our method is compared with other approaches known from the literature.
We discuss implementations of all three approaches in MATLAB (finite differences and volumes) and FEniCS (finite elements) publicly available in GitHub repositories under https://github.com/janblechschmidt.
Many numerical experiments show convergence properties as well as pros and cons of the respective approach.
Additionally, a new postprocessing procedure for policies obtained from numerical solutions of HJB equations is developed which improves the accuracy of control laws and their incurred values.
| Universität: | Technische Universität Chemnitz | |
| Institut: | Forschung Prof. Herzog | |
| Fakultät: | Fakultät für Mathematik | |
| Dokumentart: | Dissertation | |
| Betreuer: | Herzog, Roland (Prof. Dr.) | |
| URL/URN: | https://nbn-resolving.org/urn:nbn:de:bsz:ch1-qucosa2-792270 | |
| SWD-Schlagwörter: | Numerische Mathematik | |
| Freie Schlagwörter (Englisch): | nonlinear , pde , hamilton-jacobi-bellman , hjb , numerics | |
| DDC-Sachgruppe: | Wahrscheinlichkeiten, angewandte Mathematik | |
| Sprache: | deutsch | |
| Tag der mündlichen Prüfung | 06.05.2022 |
