Randomized Optimal Stopping Problem in Continuous time and Reinforcement Learning Algorithm

DOI10.1137/22M1516725arXiv2208.02409OpenAlexW4399491823MaRDI QIDQ6406925

Yuchao Dong

Publication date: 3 August 2022

Full work available at URL: https://doi.org/10.1137/22m1516725

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Artificial neural networks and deep learning (68T07) Derivative securities (option pricing, hedging, etc.) (91G20) Free boundary problems for PDEs (35R35)

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