Multilevel simulation based policy iteration for optimal stopping -- convergence and complexity

DOI10.1137/140958463zbMATH Open1378.65030OpenAlexW829270769MaRDI QIDQ2945162FDOQ2945162

Authors: D. Belomestny, Marcel Ladkau, John Schoenmakers 

Publication date: 9 September 2015

Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/140958463

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zbMATH Keywords

optimal stoppingmultilevel Monte Carlopolicy iteration

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Cites Work

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• Pricing American Options: A Duality Approach
• Multilevel dual approach for pricing American style derivatives
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• Pricing Bermudan Options via Multilevel Approximation Methods
• An iterative method for multiple stopping: convergence and stability

Cited In (3)

• Unbiased optimal stopping via the MUSE
• On the rates of convergence of simulation-based optimization algorithms for optimal stopping problems
• Solving high-dimensional optimal stopping problems using deep learning

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