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Solving Optimal Stopping Problems via Randomization and Empirical Dual Optimization - MaRDI portal

Solving Optimal Stopping Problems via Randomization and Empirical Dual Optimization

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Publication:6121634

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DOI10.1287/moor.2022.1306MaRDI QIDQ6121634

Christian Bender, Denis Belomestny, John G. M. Schoenmakers

Publication date: 27 February 2024

Published in: Mathematics of Operations Research (Search for Journal in Brave)

zbMATH Keywords

optimal stopping randomization duality stochastic average approximation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Linear programming (90C05) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items (1)

From optimal martingales to randomized dual optimal stopping

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