Advanced Simulation-Based Methods for Optimal Stopping and Control

Denis Belomestny () and John Schoenmakers ()
Additional contact information
Denis Belomestny: Duisburg-Essen University
John Schoenmakers: Weierstrass Institute for Applied Analysis and Stochastics

in Palgrave Macmillan Books from Palgrave Macmillan

Date: 2018
ISBN: 978-1-137-03351-2
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Chapters in this book:

Ch Chapter 1 Introduction

Denis Belomestny and John Schoenmakers

Ch Chapter 10 Duality for Multiple Stopping

Denis Belomestny and John Schoenmakers

Ch Chapter 11 Dual Methods for General Optimal Control

Denis Belomestny and John Schoenmakers

Ch Chapter 12 Dual Monte Carlo Algorithms for Optimal Stopping

Denis Belomestny and John Schoenmakers

Ch Chapter 13 Pricing Bermudan Options via Consumption Processes

Denis Belomestny and John Schoenmakers

Ch Chapter 14 Dual Monte Carlo Algorithms for Optimal Control

Denis Belomestny and John Schoenmakers

Ch Chapter 2 Elementary Monte Carlo Methods

Denis Belomestny and John Schoenmakers

Ch Chapter 3 Variance Reduction for SDEs

Denis Belomestny and John Schoenmakers

Ch Chapter 4 Multilevel Methods

Denis Belomestny and John Schoenmakers

Ch Chapter 5 General Problem Setups

Denis Belomestny and John Schoenmakers

Ch Chapter 6 Primal Approximation Methods for Optimal Stopping

Denis Belomestny and John Schoenmakers

Ch Chapter 7 Stochastic Policy Iteration Methods

Denis Belomestny and John Schoenmakers

Ch Chapter 8 Regression Methods for Markovian Control Problems

Denis Belomestny and John Schoenmakers

Ch Chapter 9 Duality for Optimal Stopping

Denis Belomestny and John Schoenmakers

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DOI: 10.1057/978-1-137-03351-2

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