Primal Approximation Methods for Optimal Stopping

Denis Belomestny () and John Schoenmakers
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Denis Belomestny: Universität Duisburg-Essen
John Schoenmakers: The Weierstrass Institute

Chapter Chapter 6 in Advanced Simulation-Based Methods for Optimal Stopping and Control, 2018, pp 83-96 from Palgrave Macmillan

Abstract: Abstract This chapter is devoted to Monte Carlo methods of solving discrete time optimal stopping problems based on their primal representations.

Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-1-137-03351-2_6

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DOI: 10.1057/978-1-137-03351-2_6

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