Advanced simulation-based methods for optimal stopping and control. With applications in finance

DOI10.1057/978-1-137-03351-2MaRDI QIDQ4565306zbMATH OpenOpenAlexFDO

Authors D. Belomestny, John Schoenmakers

Publication date 11 June 2018

Full work available at URL https://doi.org/10.1057/978-1-137-03351-2

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Stopping times; optimal stopping problems; gambling theory (60G40) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Financial applications of other theories (91G80)

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Cited in

(9)

• Empirical variance minimization with applications in variance reduction and optimal control
• Solving optimal stopping problems under model uncertainty via empirical dual optimisation
• Pricing American options by exercise rate optimization
• Dynamic programming for optimal stopping via pseudo-regression
• Randomized Optimal Stopping Algorithms and Their Convergence Analysis
• Optimal stopping of McKean-Vlasov diffusions via regression on particle systems
• Pricing High-Dimensional Bermudan Options with Hierarchical Tensor Formats
• A general approximation method for optimal stopping and random delay
• UVIP: model-free approach to evaluate reinforcement learning algorithms

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