{"entities":{"Q627243":{"pageid":629091,"ns":120,"title":"Item:Q627243","lastrevid":57091425,"modified":"2026-03-26T13:38:33Z","type":"item","id":"Q627243","labels":{"en":{"language":"en","value":"On the rates of convergence of simulation-based optimization algorithms for optimal stopping problems"}},"descriptions":{"en":{"language":"en","value":"scientific article; zbMATH DE number 5853850"}},"aliases":{},"claims":{"P31":[{"mainsnak":{"snaktype":"value","property":"P31","hash":"fd5912e4dab4b881a8eb0eb27e7893fef55176ad","datavalue":{"value":{"entity-type":"item","numeric-id":56887,"id":"Q56887"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q627243$127E640B-5FC6-4535-A10E-F3EB4DE0FFBC","rank":"normal"}],"P159":[{"mainsnak":{"snaktype":"value","property":"P159","hash":"83baaccf1d48f34394dfda239a82d17e7ed55b10","datavalue":{"value":{"text":"On the rates of convergence of simulation-based optimization algorithms for optimal stopping problems","language":"en"},"type":"monolingualtext"},"datatype":"monolingualtext"},"type":"statement","id":"Q627243$C39F6F0B-94F5-4682-8DC5-3C05567545A7","rank":"normal"}],"P225":[{"mainsnak":{"snaktype":"value","property":"P225","hash":"ff2047437649a844f2d0f8a64f4c87f541bf0224","datavalue":{"value":"1234.60043","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q627243$1D8A96AC-D0B0-4C98-B799-9CFBD30AF48C","rank":"normal"}],"P27":[{"mainsnak":{"snaktype":"value","property":"P27","hash":"f796180c0d461ac8f641b5e621a4bd2197b80d98","datavalue":{"value":"10.1214/10-AAP692","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q627243$3F89DD22-D15D-4972-9FA2-C558F3C6BA2D","rank":"normal"}],"P16":[{"mainsnak":{"snaktype":"value","property":"P16","hash":"460644da91cd853a3d6860523c38515e4499a902","datavalue":{"value":{"entity-type":"item","numeric-id":271882,"id":"Q271882"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q627243$DB542660-C71F-4DED-A0F9-9524F0377ABF","rank":"normal"}],"P200":[{"mainsnak":{"snaktype":"value","property":"P200","hash":"e04a4b352e727282a8f30f5809a3df145fda07dd","datavalue":{"value":{"entity-type":"item","numeric-id":81240,"id":"Q81240"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q627243$E1157215-BD84-4D9A-8E8F-74C8FA05335D","rank":"normal"}],"P28":[{"mainsnak":{"snaktype":"value","property":"P28","hash":"a57a1d265a3ee40f730aaa4d5af28fb13b1a54e5","datavalue":{"value":{"time":"+2011-02-21T00:00:00Z","timezone":0,"before":0,"after":0,"precision":11,"calendarmodel":"http://www.wikidata.org/entity/Q1985727"},"type":"time"},"datatype":"time"},"type":"statement","id":"Q627243$C9BF2C2F-51C5-48DD-A0AF-1B58055F8C5E","rank":"normal"}],"P205":[{"mainsnak":{"snaktype":"value","property":"P205","hash":"a62704628c596d5c32a0c99c798b19f5205896bd","datavalue":{"value":"https://arxiv.org/abs/0909.3570","type":"string"},"datatype":"url"},"type":"statement","id":"Q627243$C0126DCD-8BC1-4517-9DC1-F3C8F15935B8","rank":"normal"}],"P1448":[{"mainsnak":{"snaktype":"value","property":"P1448","hash":"8b30c7221473e2f00106b1ede7dc3d1f198e961e","datavalue":{"value":"The simplified version of the problem considered consists of finding  \\[ v^*=\\sup_{1\\leq\\tau\\leq K}\\text{E}[Z_\\tau], \\]  where \\(Z\\) is a Markov chain in \\(\\mathbb R^n\\) and \\(\\tau\\) is a stopping time.   The standard first step to solve this problem is to describe the stopping times as entrance times in appropriate sets obtained after solving a Bellman type recursion. Once the description is at hand, supposing that we can generate or obtain independent samples of the process and prescribe how to specify the stopping times, we can invoke the law of large numbers to compute the approximate value of the objective function. This is all explained in section two of the paper.  Section three is devoted to the solution of the complementary problem: the choice of the ``good'' size of the sample. This is obtained from estimates of the rate of convergence of the above mentioned estimator. After that, several examples of interest in finance are considered, and the last three sections of the paper are devoted to the proofs of the statements.","type":"string"},"datatype":"string"},"type":"statement","id":"Q627243$7CCBCD28-43A8-4509-BA2A-6DD9CE76F86A","rank":"normal"}],"P1447":[{"mainsnak":{"snaktype":"value","property":"P1447","hash":"5fbb81c133276cd6ad927693d48f24e97ebc649f","datavalue":{"value":{"entity-type":"item","numeric-id":296448,"id":"Q296448"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q627243$C04A55B2-8162-4A03-A31F-67EDF4B862D6","rank":"normal"}],"P226":[{"mainsnak":{"snaktype":"value","property":"P226","hash":"96985b9b4d60c0f935f371b2243a7deeef976496","datavalue":{"value":"60G40","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q627243$5C9BAB66-C09C-4195-936A-606F6829E5B8","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"9fa3e81bd1d73482efe437e765d72accba82d844","datavalue":{"value":"91G80","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q627243$3D89782F-265B-4620-B60F-5E6CD005C7F5","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"314e54fbb18d33f780194e79b8f7d977d400cb90","datavalue":{"value":"60J05","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q627243$7DC357AA-AC49-480F-8033-A60591A4BCEF","rank":"normal"}],"P1451":[{"mainsnak":{"snaktype":"value","property":"P1451","hash":"73b31a0d7b1dff619dce543e4e8e4a149b4b76e6","datavalue":{"value":"5853850","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q627243$1C021B71-89A5-472E-89BC-9483B4E85E4D","rank":"normal"}],"P1450":[{"mainsnak":{"snaktype":"value","property":"P1450","hash":"83df7db5b8de3b68e30fb4a893c91a6aa3ebf3c0","datavalue":{"value":"optimal stopping","type":"string"},"datatype":"string"},"type":"statement","id":"Q627243$6E9955A4-6317-4945-B2EC-70E911581F8D","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"b7697f3241350d38e3359280313a1c6aa450c258","datavalue":{"value":"simulation-based algorithms","type":"string"},"datatype":"string"},"type":"statement","id":"Q627243$2C15E095-8770-46DB-A7A1-E28BBB1850F2","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"888a2038e6cb3cdf441e13c74c16cfba9e9afe5c","datavalue":{"value":"exponential inequalities","type":"string"},"datatype":"string"},"type":"statement","id":"Q627243$2D0C15D8-E2EC-459D-B464-3DF8B24451B4","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"67632511834c0923725d50b9962b367281204b5e","datavalue":{"value":"empirical processes","type":"string"},"datatype":"string"},"type":"statement","id":"Q627243$621DEF27-5BCD-42F5-AFB3-0D024907B4D4","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"8763ac177cb00ec7da09f705b255fceb6c898784","datavalue":{"value":"\\(\\delta \\)-entropy with bracketing","type":"string"},"datatype":"string"},"type":"statement","id":"Q627243$E8B6F36A-0022-402D-9AD3-70B27FB9C06F","rank":"normal"}],"P1460":[{"mainsnak":{"snaktype":"value","property":"P1460","hash":"57f7fea50d2ce1b39b695c4a1313582eed405e38","datavalue":{"value":{"entity-type":"item","numeric-id":5976449,"id":"Q5976449"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q627243$2786C385-F84A-42CC-8227-D6A0C49330B9","rank":"normal"}],"P223":[{"mainsnak":{"snaktype":"value","property":"P223","hash":"e2abce50830621c521cc8645a45db4386b709b30","datavalue":{"value":{"entity-type":"item","numeric-id":1391436,"id":"Q1391436"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q627243$239B7261-5E35-4BDB-B1D9-D0E29A6CB922","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"7d5e9e48535cf4425749c450e05905d4706c6c90","datavalue":{"value":{"entity-type":"item","numeric-id":4354432,"id":"Q4354432"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q627243$69FAF0F0-3F06-44F9-ADAB-6141E0A9702A","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"fdcb0470a54cb2a8c4c0e76515e2553be7726756","datavalue":{"value":{"entity-type":"item","numeric-id":1381139,"id":"Q1381139"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q627243$38947403-3F3B-4231-BF42-4CA2DD77A55F","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"dadc56ef1c9475daa627544fd900d305637fbb43","datavalue":{"value":{"entity-type":"item","numeric-id":1424693,"id":"Q1424693"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q627243$00708C7B-CAFF-4007-9EBA-8D0C50BF8014","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"f51d92322f978fb96233431f180d05d596e9f355","datavalue":{"value":{"entity-type":"item","numeric-id":4881152,"id":"Q4881152"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q627243$49AF586A-20CA-4719-885A-26C351674E45","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"8f4168bfe55d483e91d867ad09e9c4621d26da26","datavalue":{"value":{"entity-type":"item","numeric-id":4222738,"id":"Q4222738"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q627243$FAEA3611-106B-4D12-A171-93AD3E28040C","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"9033fefc882fe7df4969b9b1ed3826cb0cae1cbe","datavalue":{"value":{"entity-type":"item","numeric-id":558680,"id":"Q558680"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q627243$672A5A5D-10C0-48D4-89C5-FF6606127CBB","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"b4b0444b81d91993b100d5a88cac9bc10effb29c","datavalue":{"value":{"entity-type":"item","numeric-id":2467599,"id":"Q2467599"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q627243$A751AF24-55BC-4E39-ACFD-813525F52C13","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"59b70a1fcffebe3570d415aa05e4965ca3de72c6","datavalue":{"value":{"entity-type":"item","numeric-id":951396,"id":"Q951396"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q627243$AF817506-33CA-4686-BA5C-79053E8CBEF4","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"885f56e06625fe09637fd6262901517878142adb","datavalue":{"value":{"entity-type":"item","numeric-id":4433608,"id":"Q4433608"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q627243$4B4A60E2-7E35-4AD9-AD1F-CA2BCB352A72","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"852eea57a37fc60d9aee635ea1e2f33d533ea741","datavalue":{"value":{"entity-type":"item","numeric-id":3576955,"id":"Q3576955"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q627243$FF75DFF9-680A-4AFE-9CDF-3C289ED43761","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"613b996c2ca56c76fbbf12ebcd5744b30c5716f6","datavalue":{"value":{"entity-type":"item","numeric-id":5374081,"id":"Q5374081"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q627243$0858D051-6440-4A9D-9372-05281AF494F7","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"1964254c878e7c046ef863ff39c4f3897d4f0f72","datavalue":{"value":{"entity-type":"item","numeric-id":1583889,"id":"Q1583889"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q627243$F0542876-9A1A-4788-9B4D-1BE2D593F488","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"0933b30c8bcff1e56293de1ea7f2c6292aabce58","datavalue":{"value":{"entity-type":"item","numeric-id":3378055,"id":"Q3378055"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q627243$CE1E61CC-BA64-45D6-8EE1-6CE0C0179275","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"d785cb7cdf0fdad3b300dac5c699ad95d39eff8c","datavalue":{"value":{"entity-type":"item","numeric-id":4286936,"id":"Q4286936"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q627243$3699BFEF-9B48-4270-93D5-084DBB804058","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"2141562aa3a06774086ac9098573b3de528a1867","datavalue":{"value":{"entity-type":"item","numeric-id":2706316,"id":"Q2706316"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q627243$5107D648-117B-4C9C-82E9-D2FF4B9CE915","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"000d8988063acbbb04bb1bf87b282f83bb3ede3a","datavalue":{"value":{"entity-type":"item","numeric-id":4944751,"id":"Q4944751"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q627243$4B366F56-483D-46DB-B9E9-AD4FAC9AB772","rank":"normal"}],"P1643":[{"mainsnak":{"snaktype":"value","property":"P1643","hash":"17d98fcce5e0685b3335a6f61724e4ae328d681b","datavalue":{"value":{"entity-type":"item","numeric-id":373842,"id":"Q373842"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"f8245d2a301817d6120c411f7bb8c83bc7ad423d","datavalue":{"value":{"amount":"+0.8061910271644592","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q627243$FFAF632A-196F-416C-9414-A0EB46B76453","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"e03ba401e9671ed3d8afc631d47d176a616ac2a7","datavalue":{"value":{"entity-type":"item","numeric-id":558676,"id":"Q558676"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"95eeace30538aaa5173fc61d4db4f01ea983748c","datavalue":{"value":{"amount":"+0.805367112159729","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q627243$E9122015-65F1-487C-9BE7-DAA566350F84","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"c2937227d20e7e0c97df5cbbac17301f44906d55","datavalue":{"value":{"entity-type":"item","numeric-id":4895649,"id":"Q4895649"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"c3aaa595fd51f26bf916028ec3c06f2f6f32f2bf","datavalue":{"value":{"amount":"+0.770240843296051","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q627243$52877B3F-26D2-4E36-8923-C9FAC205C1C7","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"a376d73b5b8f64239eb99f8d34d0ee3c59f7ae61","datavalue":{"value":{"entity-type":"item","numeric-id":2945162,"id":"Q2945162"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"4e77184883da2f527a78c40078ed2886ddf4c2af","datavalue":{"value":{"amount":"+0.7573091983795166","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q627243$B9699CFA-5A1D-4C29-A27B-D5587B6F9F95","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"531aa19f5430b7146266b824faed37921525f48c","datavalue":{"value":{"entity-type":"item","numeric-id":4635221,"id":"Q4635221"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"01508d27c10cda371565a7e5211aa65db8177645","datavalue":{"value":{"amount":"+0.7528761029243469","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q627243$54CC1174-3B6F-47FA-8ACD-03FD59EC7087","rank":"normal"}]},"sitelinks":{"mardi":{"site":"mardi","title":"Publication:627243","badges":[],"url":"https://portal.mardi4nfdi.de/wiki/Publication:627243"}}}}}