Optimal Stopping via Randomized Neural Networks

DOI10.3934/FMF.2023022arXiv2104.13669MaRDI QIDQ6366342

Pierre Ruyssen, Calypso Herrera, Florian Krach, Josef Teichmann

Publication date: 28 April 2021

Mathematics Subject Classification ID

Artificial neural networks and deep learning (68T07) Fractional processes, including fractional Brownian motion (60G22) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

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