Discrete-type approximations for non-Markovian optimal stopping problems. II
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Publication:2218844
Abstract: In this paper, we present a Longstaff-Schwartz-type algorithm for optimal stopping time problems based on the Brownian motion filtration. The algorithm is based on Le~ao, Ohashi and Russo and, in contrast to previous works, our methodology applies to optimal stopping problems for fully non-Markovian and non-semimartingale state processes such as functionals of path-dependent stochastic differential equations and fractional Brownian motions. Based on statistical learning theory techniques, we provide overall error estimates in terms of concrete approximation architecture spaces with finite Vapnik-Chervonenkis dimension. Analytical properties of continuation values for path-dependent SDEs and concrete linear architecture approximating spaces are also discussed.
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Cited in
(5)- Discrete-type approximations for non-Markovian optimal stopping problems. I
- Optimal stopping of McKean-Vlasov diffusions via regression on particle systems
- Monte Carlo algorithms for optimal stopping and statistical learning
- Semitractability of optimal stopping problems via a weighted stochastic mesh algorithm
- Deep learning for energy market contracts: Dynkin game with doubly RBSDEs
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