Note on the (non-)smoothness of discrete time value functions in optimal stopping (Q2201538)
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scientific article
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| English | Note on the (non-)smoothness of discrete time value functions in optimal stopping |
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Note on the (non-)smoothness of discrete time value functions in optimal stopping (English)
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29 September 2020
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optimal stopping
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discrete time stopping problem
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random walk
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smoothness
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continuation set
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Chow-Robbins game
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value function
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0.7857861518859863
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0.77614426612854
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0.7700186967849731
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0.7678269147872925
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0.7632372975349426
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