Monte Carlo algorithms for optimal stopping and statistical learning

DOI10.1214/105051605000000043zbMath1125.91050arXivmath/0408276OpenAlexW2038107520MaRDI QIDQ558680

Daniel Egloff

Publication date: 13 July 2005

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0408276

zbMATH Keywords

optimal stoppingMonte Carlo methodsempirical processesAmerican optionsuniform law of large numbersconcentration inequalitiesstatistical learningVapnik-Chervonenkis classes

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Nonparametric estimation (62G05) Monte Carlo methods (65C05) Least squares and related methods for stochastic control systems (93E24) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

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