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Semi-tractability of optimal stopping problems via a weighted stochastic mesh algorithm - MaRDI portal

Semi-tractability of optimal stopping problems via a weighted stochastic mesh algorithm

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Publication:6320884

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DOI10.1111/MAFI.12271zbMath1508.91614arXiv1906.09431MaRDI QIDQ6320884

Maxim Kaledin, Denis Belomestny, John G. M. Schoenmakers

Publication date: 22 June 2019

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Combinatorial probability (60C05) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

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