Deep optimal stopping (Q5381128)

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scientific article; zbMATH DE number 7064054
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Deep optimal stopping
scientific article; zbMATH DE number 7064054

    Statements

    author
    Sebastian Becker
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    Patrick Cheridito
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    Arnulf Jentzen
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    publication date
    7 June 2019
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    zbMATH Keywords
    optimal stopping
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    deep learning
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    Bermudan option
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    callable multi barrier reverse convertible
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    fractional Brownian motion
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    arXiv classification
    math.NA
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    cs.NA
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    math.PR
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    cites work
    Q5386174
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    Q4895161
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    Q2744679
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    Q5754578
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    Q3378055
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    Q4301585
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    Q4550921
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    Identifiers

    Mathematics Subject Classification ID
    60G40
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    60J22
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    60J05
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    62F25
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    68T07
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    zbMATH DE Number
    7064054
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    arXiv ID
    1804.05394
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