@prefix dcat: <http://www.w3.org/ns/dcat#> .
@prefix dct: <http://purl.org/dc/terms/> .
@prefix foaf: <http://xmlns.com/foaf/0.1/> .
@prefix vcard: <http://www.w3.org/2006/vcard/ns#> .
@prefix xsd: <http://www.w3.org/2001/XMLSchema#> .

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    dct:description """
              We propose a probabilistic numerical algorithm to solve Backward Stochastic Differential Equations (BSDEs) with nonnegative jumps, a class of BSDEs introduced in [9] for representing fully nonlinear HJB equations. In particular, this allows us to numerically solve stochastic control problems with controlled volatility, possibly degenerate. Our backward scheme, based on least-squares regressions, takes advantage of high-dimensional properties of Monte-Carlo methods, and also provides a parametric estimate in feedback form for the optimal control. A partial analysis of the error of the scheme is provided, as well as numerical tests on the problem of superreplication of option with uncertain volatilities and/or correlations, including a detailed comparison with the numerical results from the alternative scheme proposed in [7].
            """ ;
    dct:identifier "hal-00905899" ;
    dct:issued "2026-05-08T04:59:47.069483"^^xsd:dateTime ;
    dct:language "en" ;
    dct:modified "2026-05-08T04:59:47.069487"^^xsd:dateTime ;
    dct:publisher <https://rec.harvest-normandie.data4citizen.com/organization/cce9db95-46d9-4dc2-84b6-764215d0a002> ;
    dct:title "A numerical algorithm for fully nonlinear HJB equations: an approach by control randomization" ;
    dcat:contactPoint [ a vcard:Organization ;
            vcard:fn "CCSD" ] ;
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    dcat:keyword "backward-stochastic-differential-equations",
        "control-randomization",
        "empirical-regressions",
        "hjb-equation",
        "infoeu-reposemanticspreprint",
        "jel-c---mathematical-and-quantitative-methodscc6---mathematical-methods--programming-models--ma",
        "mathmath-prmathematics-mathprobability-mathpr",
        "monte-carlo",
        "preprints-working-papers-",
        "qfincpquantitative-finance-q-fincomputational-finance-q-fincp",
        "qfinprquantitative-finance-q-finpricing-of-securities-q-finpr",
        "uncertain-volatility" ;
    dcat:landingPage <https://hal.science/hal-00905899> .

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    dct:issued "2026-05-08T04:59:47.071028"^^xsd:dateTime ;
    dct:modified "2026-05-08T04:59:47.053018"^^xsd:dateTime ;
    dct:title "A numerical algorithm for fully nonlinear HJB equations: an approach by control randomization" ;
    dcat:accessURL <https://hal.science/hal-00905899> .

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