Semi-tractability of optimal stopping problems via a weighted stochastic mesh algorithm
dc.bibliographicCitation.seriesTitle | WIAS Preprints | eng |
dc.bibliographicCitation.volume | 2610 | |
dc.contributor.author | Belomestny, Denis | |
dc.contributor.author | Kaledin, Maxim | |
dc.contributor.author | Schoenmakers, John G.M. | |
dc.date.accessioned | 2022-06-23T14:30:44Z | |
dc.date.available | 2022-06-23T14:30:44Z | |
dc.date.issued | 2019 | |
dc.description.abstract | In this article we propose a Weighted Stochastic Mesh (WSM) algorithm for approximating the value of discrete and continuous time optimal stopping problems. It is shown that in the discrete time case the WSM algorithm leads to semi-tractability of the corresponding optimal stopping problem in the sense that its complexity is bounded in order by $varepsilon^-4log^d+2(1/varepsilon)$ with $d$ 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 can not prove semi-tractability 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. | eng |
dc.description.version | publishedVersion | eng |
dc.identifier.uri | https://oa.tib.eu/renate/handle/123456789/9194 | |
dc.identifier.uri | https://doi.org/10.34657/8232 | |
dc.language.iso | eng | |
dc.publisher | Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik | |
dc.relation.doi | https://doi.org/10.20347/WIAS.PREPRINT.2610 | |
dc.relation.hasversion | https://doi.org/10.1111/mafi.12271 | |
dc.relation.issn | 2198-5855 | |
dc.rights.license | This document may be downloaded, read, stored and printed for your own use within the limits of § 53 UrhG but it may not be distributed via the internet or passed on to external parties. | eng |
dc.rights.license | Dieses Dokument darf im Rahmen von § 53 UrhG zum eigenen Gebrauch kostenfrei heruntergeladen, gelesen, gespeichert und ausgedruckt, aber nicht im Internet bereitgestellt oder an Außenstehende weitergegeben werden. | ger |
dc.subject.ddc | 510 | |
dc.subject.other | Optimal stopping | eng |
dc.subject.other | American options | eng |
dc.subject.other | Monte Carlo algorithms | eng |
dc.subject.other | complexity | eng |
dc.title | Semi-tractability of optimal stopping problems via a weighted stochastic mesh algorithm | eng |
dc.type | Report | eng |
dc.type | Text | eng |
dcterms.extent | 20 S. | |
tib.accessRights | openAccess | |
wgl.contributor | WIAS | |
wgl.subject | Mathematik | |
wgl.type | Report / Forschungsbericht / Arbeitspapier |
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