Stochastic mesh method for optimal stopping problems

DOI10.1134/S1063454120030097zbMATH Open1460.62134OpenAlexW3088199527MaRDI QIDQ5919085FDOQ5919085

Authors: Yuriĭ Nikolaevich Kashtanov, Igor' Pavlovich Fedyaev 

Publication date: 16 February 2021

Published in: Vestnik St. Petersburg University. Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1134/s1063454120030097

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zbMATH Keywords

optimal stoppingstochastic mesh methodAsian option with geometric average

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic approximation (62L20) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15) Mesh generation, refinement, and adaptive methods for boundary value problems involving PDEs (65N50)

Cites Work

• Optimal Stopping Rules
• Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach
• Stochastic mesh method for optimal stopping problems

Cited In (4)

• Stochastic mesh methods for Hörmander type diffusion processes
• Semitractability of optimal stopping problems via a weighted stochastic mesh algorithm
• Revisit of stochastic mesh method for pricing American options
• Stochastic mesh method for optimal stopping problems

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