Multilevel Simulation Based Policy Iteration for Optimal Stopping--Convergence and Complexity

DOI10.1137/140958463zbMath1378.65030OpenAlexW829270769MaRDI QIDQ2945162

Marcel Ladkau, Denis Belomestny, John G. M. Schoenmakers

Publication date: 9 September 2015

Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/140958463

zbMATH Keywords

optimal stoppingpolicy iterationmultilevel Monte Carlo

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Stopping times; optimal stopping problems; gambling theory (60G40) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (2)

Unbiased optimal stopping via the MUSE ⋮ Solving high-dimensional optimal stopping problems using deep learning

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