Browsing University of Waterloo by Author "Shen, Zhiyi"
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Numerical Solutions to Stochastic Control Problems: When Monte Carlo Simulation Meets Nonparametric Regression
Shen, Zhiyi (University of Waterloo, 2019-07-30)The theme of this thesis is to develop theoretically sound as well as numerically efficient Least Squares Monte Carlo (LSMC) methods for solving discrete-time stochastic control problems motivated by insurance and finance ...