Randomized Optimal Stopping Algorithms and Their Convergence Analysis
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Publication:5162847
DOI10.1137/20M1373876zbMath1476.91218arXiv2002.00816MaRDI QIDQ5162847
Christian Bayer, Denis Belomestny, Paul Hager, Paolo Pigato, John G. M. Schoenmakers
Publication date: 5 November 2021
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2002.00816
Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical solutions to stochastic differential and integral equations (65C30)
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Cites Work
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