A randomisation approach for the probabilistic representation and approximation of HJB equations

Speaker(s): 
Idris Kharroubi (CEREMADE - Universitè Paris)
Date: 
Thursday, February 2, 2017 - 5:15pm
Location: 
HU Berlin, Rudower Chaussee 25, Room 1.115

We propose a new probabilistic numerical scheme for fully nonlinear equation of Hamilton-Jacobi-Bellman (HJB) type associated to stochastic control problem, which is based on the Feynman-Kac representation by means of control randomization and backward stochastic differential equation with nonpositive jumps. We study a discrete time approximation for the minimal solution to this class of BSDE when the time step goes to zero, which provides both an approximation for the value function and for an optimal control in feedback form. We obtained a convergence rate without any ellipticity condition on the controlled diffusion coefficient.
This talk is based on joint works with H. Pham and L. Langren.