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DOI10.1007/978-3-031-12244-6_8zbMath1525.60051OpenAlexW4376624844MaRDI QIDQ6061109

L. C. G. Rogers

Publication date: 3 December 2023

Published in: Lecture Notes in Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-031-12244-6_8

zbMATH Keywords

optimal stopping

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Dynamic programming (90C39) Stopping times; optimal stopping problems; gambling theory (60G40) Markov and semi-Markov decision processes (90C40)

Cites Work

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• Pathwise Stochastic Optimal Control
• Pricing American Options: A Duality Approach
• Monte Carlo valuation of American options
• Deep optimal stopping
• The theory of dynamic programming