Semitractability of optimal stopping problems via a weighted stochastic mesh algorithm

DOI10.1111/MAFI.12271MaRDI QIDQ5855969zbMATH OpenOpenAlexFDO

Authors D. Belomestny, Maxim Kaledin, John Schoenmakers

Publication date 23 March 2021

Published in Mathematical Finance (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/1906.09431

zbMATH Keywords

American optionscomplexityMonte Carlo algorithmsoptimal stopping

Mathematics Subject Classification ID

Combinatorial probability (60C05) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cited in

(4)

• Dynamic programming for optimal stopping via pseudo-regression
• Primal-Dual Regression Approach for Markov Decision Processes with General State and Action Spaces
• Semi-tractability of optimal stopping problems via a weighted stochastic mesh algorithm
• Weighted mesh algorithms for general Markov decision processes: convergence and tractability

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