Semitractability of optimal stopping problems via a weighted stochastic mesh algorithm

dc.bibliographicCitation.firstPage1591eng
dc.bibliographicCitation.issue4eng
dc.bibliographicCitation.lastPage1616eng
dc.bibliographicCitation.volume30eng
dc.contributor.authorBelomestny, Denis
dc.contributor.authorKaledin, Maxim
dc.contributor.authorSchoenmakers, John
dc.date.accessioned2021-11-24T05:52:36Z
dc.date.available2021-11-24T05:52:36Z
dc.date.issued2020
dc.description.abstractIn this paper, we propose a Weighted Stochastic Mesh (WSM) algorithm for approximating the value of discrete- and continuous-time optimal stopping problems. In this context, we consider tractability of such problems via a useful notion of semitractability and the introduction of a tractability index for a particular numerical solution algorithm. It is shown that in the discrete-time case the WSM algorithm leads to semitractability of the corresponding optimal stopping problem in the sense that its complexity is bounded in order by (Formula presented.) with (Formula presented.) being the dimension of the underlying Markov chain. Furthermore, we study the WSM approach in the context of continuous-time optimal stopping problems and derive the corresponding complexity bounds. Although we cannot prove semitractability in this case, our bounds turn out to be the tightest ones among the complexity bounds known in the literature. We illustrate our theoretical findings by a numerical example. © 2020 Wiley Periodicals LLCeng
dc.description.versionpublishedVersioneng
dc.identifier.urihttps://oa.tib.eu/renate/handle/123456789/7413
dc.identifier.urihttps://doi.org/10.34657/6460
dc.language.isoengeng
dc.publisherOxford [u.a.] : Wiley-Blackwelleng
dc.relation.doihttps://doi.org/10.1111/mafi.12271
dc.relation.essn1467-9965
dc.relation.ispartofseriesMathematical finance : an international journal of mathematics, statistics and financial economics 30 (2020), Nr. 4eng
dc.rights.licenseCC BY 4.0 Unportedeng
dc.rights.urihttps://creativecommons.org/licenses/by/4.0/eng
dc.subjectAmerican optionseng
dc.subjectcomplexityeng
dc.subjectMonte Carlo algorithmseng
dc.subjectoptimal stoppingeng
dc.subject.ddc510eng
dc.subject.ddc330eng
dc.titleSemitractability of optimal stopping problems via a weighted stochastic mesh algorithmeng
dc.typearticleeng
dc.typeTexteng
dcterms.bibliographicCitation.journalTitleMathematical finance : an international journal of mathematics, statistics and financial economicseng
tib.accessRightsopenAccesseng
wgl.contributorWIASeng
wgl.subjectMathematikeng
wgl.typeZeitschriftenartikeleng
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