Randomized Optimal Stopping Algorithms and Their Convergence Analysis
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Abstract: In this paper we study randomized optimal stopping problems and consider corresponding forward and backward Monte Carlo based optimisation algorithms. In particular we prove the convergence of the proposed algorithms and derive the corresponding convergence rates.
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Cited in
(13)- Traversable-wormhole physics in GBD theory of modified gravity
- Maturity randomization for stochastic control problems
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