Regression Methods for Stochastic Control Problems and Their Convergence Analysis

DOI10.1137/090752651zbMath1205.60087OpenAlexW2111273214MaRDI QIDQ3162600

Denis Belomestny, Anastasia Kolodko, John G. M. Schoenmakers

Publication date: 20 October 2010

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/090752651

zbMATH Keywords

convergence analysisoptimal stochastic controlregression methods

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stopping times; optimal stopping problems; gambling theory (60G40)

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