On regression-based stopping times

DOI10.1007/S10626-009-0062-YMaRDI QIDQ708889zbMATH OpenOpenAlexFDO

Authors Benjamin Van Roy

Publication date 15 October 2010

Published in Discrete Event Dynamic Systems (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10626-009-0062-y

zbMATH Keywords

approximate dynamic programmingoptimal controloptimal stopping

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Dynamic programming (90C39) Optimal stochastic control (93E20)

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Cites work

• A generalized Kalman filter for fixed point approximation and efficient temporal-difference learning
• An analysis of a least squares regression method for American option pricing
• scientific article; zbMATH DE number 1999206 (Why is no real title available?)
• scientific article; zbMATH DE number 1559563 (Why is no real title available?)
• Number of paths versus number of basis functions in American option pricing
• Optimal stopping of Markov processes: Hilbert space theory, approximation algorithms, and an application to pricing high-dimensional financial derivatives
• Valuing American options by simulation: a simple least-squares approach

Cited in

(4)

• Optimal timing of decisions: a general theory based on continuation values
• Optimal stopping via reinforced regression
• Pricing Bermudan options by nonparametric regression: optimal rates of convergence for lower estimates
• Dynamic programming for optimal stopping via pseudo-regression

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