On data-based optimal stopping under stationarity and ergodicity

DOI10.3150/12-BEJ439zbMath1273.62192arXiv1307.5976OpenAlexW3103370543MaRDI QIDQ358137

Harro Walk, Michael Kohler

Publication date: 16 August 2013

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1307.5976

zbMATH Keywords

predictionergodicityAmerican optionsstationaritynonparametric regressionuniversal consistency

Mathematics Subject Classification ID

Related Items (2)

Weakly universally consistent static forecasting of stationary and ergodic time series via local averaging and least squares estimates ⋮ Nonparametric learning for impulse control problems -- exploration vs. exploitation

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