On the Robustness of the Snell envelope - Inria - Institut national de recherche en sciences et technologies du numérique
Article Dans Une Revue SIAM Journal on Financial Mathematics Année : 2011

On the Robustness of the Snell envelope

Résumé

We analyze the robustness properties of the Snell envelope backward evolution equation for the discrete time optimal stopping problem. We consider a series of approximation schemes, including cut-off type approximations, Euler discretization schemes, interpolation models, quantization tree models, and the Stochastic Mesh method of Broadie-Glasserman. In each situation, we provide non asymptotic convergence estimates, including Lp-mean error bounds and exponential concentration inequalities. We deduce these estimates from a single and general robustness property of Snell envelope semigroups. In particular, this analysis allows us to recover existing convergence results for the quantization tree method and to improve significantly the rates of convergence obtained for the Stochastic Mesh estimator of Broadie-Glasserman. In the second part of the article, we propose a new approach using a genealogical tree approximation of the reference Markov process in terms of a neutral type genetic model. In contrast to Broadie-Glasserman Monte Carlo models, the computational cost of this new stochastic particle approximation is linear in the number of sampled points. Some simulations results are provided and confirm the interest of this new algorithm.
Fichier non déposé

Dates et versions

hal-00641452 , version 1 (15-11-2011)

Identifiants

Citer

Pierre del Moral, P. Hu, Nadia Oudjane, Bruno Rémillard. On the Robustness of the Snell envelope. SIAM Journal on Financial Mathematics, 2011, 2, pp.951-997. ⟨10.1137/100798016⟩. ⟨hal-00641452⟩
199 Consultations
0 Téléchargements

Altmetric

Partager

More