Solving Optimal Stopping Problems via Randomization and Empirical Dual Optimization

DOI10.1287/MOOR.2022.1306MaRDI QIDQ6121634zbMATH OpenFDO

Authors D. Belomestny, Christian Bender, John Schoenmakers

Publication date 27 February 2024

Published in Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/MOOR.2022.1306

zbMATH Keywords

randomizationdualityoptimal stoppingstochastic average approximation

Mathematics Subject Classification ID

Linear programming (90C05) Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40)

Recommendations

• Solving optimal stopping problems via empirical dual optimization
• From optimal martingales to randomized dual optimal stopping
• Randomized Optimal Stopping Algorithms and Their Convergence Analysis
• Solving optimal stopping problems under model uncertainty via empirical dual optimisation
• Optimal stopping via pathwise dual empirical maximisation

Cited in

(5)

• Randomized Optimal Stopping Problem in Continuous time and Reinforcement Learning Algorithm
• A Nonparametric Algorithm for Optimal Stopping Based on Robust Optimization
• Purely dual approach for optimal stopping problems via regression
• Primal and dual optimal stopping with signatures
• From optimal martingales to randomized dual optimal stopping

This page was built for publication: Solving Optimal Stopping Problems via Randomization and Empirical Dual Optimization

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6121634)