Optimal stopping with signatures
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Publication:6103968
DOI10.1214/22-aap1814arXiv2105.00778OpenAlexW3182984870MaRDI QIDQ6103968
Christian Bayer, Paul Hager, John G. M. Schoenmakers, Sebastian Riedel
Publication date: 5 June 2023
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2105.00778
Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Rough paths (60L20) Signatures and data streams (60L10)
Related Items (2)
Cites Work
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