Optimal stopping via reinforced regression

DOI10.4310/CMS.2020.v18.n1.a5zbMath1440.60032arXiv1808.02341MaRDI QIDQ1984704

Denis Belomestny, Bakhyt Zharkynbay, John G. M. Schoenmakers, Vladimir Spokoiny

Publication date: 7 April 2020

Published in: Communications in Mathematical Sciences (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1808.02341

zbMATH Keywords

Monte Carlooptimal stoppingregressionreinforcement

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Monte Carlo methods (65C05) Stopping times; optimal stopping problems; gambling theory (60G40)

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