Randomized optimal stopping algorithms and their convergence analysis

2020/02/03 by Bayer, Christian, Belomestny, Denis, Hager, Paul +2 · 3 citations
#60J05 #65C05 #65C30 #Computational Finance (q-fin.CP) #FOS: Economics and business #FOS: Mathematics #Numerical Analysis (math.NA) #Optimization and Control (math.OC)

paper · doi:10.48550/arxiv.2002.00816

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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