Deep optimal stopping

zbMath1495.60029arXiv1804.05394MaRDI QIDQ5381128

Patrick Cheridito, Arnulf Jentzen, Sebastian Becker

Publication date: 7 June 2019

Full work available at URL: https://arxiv.org/abs/1804.05394

zbMATH Keywords

fractional Brownian motionoptimal stoppingdeep learningBermudan optioncallable multi barrier reverse convertible

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Parametric tolerance and confidence regions (62F25) Artificial neural networks and deep learning (68T07) Discrete-time Markov processes on general state spaces (60J05) Stopping times; optimal stopping problems; gambling theory (60G40)

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Uses Software

• DGM

Cites Work

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