Randomized optimal stopping algorithms and their convergence analysis

Christian Bayer, Denis Belomestny, Paul Hager, Paolo Pigato and John Schoenmakers

Papers from arXiv.org

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.

Date: 2020-02
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2002.00816

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