Randomized optimal stopping algorithms and their convergence analysis
| dc.bibliographicCitation.seriesTitle | WIAS Preprints | eng |
| dc.bibliographicCitation.volume | 2697 | |
| dc.contributor.author | Bayer, Christian | |
| dc.contributor.author | Belomestny, Denis | |
| dc.contributor.author | Hager, Paul | |
| dc.contributor.author | Pigato, Paolo | |
| dc.contributor.author | Schoenmakers, John G. M. | |
| dc.date.accessioned | 2022-06-30T12:42:34Z | |
| dc.date.available | 2022-06-30T12:42:34Z | |
| dc.date.issued | 2020 | |
| dc.description.abstract | In this paper we study randomized optimal stopping problems and consider corresponding forward and backward Monte Carlo based optimization algorithms. In particular we prove the convergence of the proposed algorithms and derive the corresponding convergence rates. | eng |
| dc.description.version | publishedVersion | eng |
| dc.identifier.uri | https://oa.tib.eu/renate/handle/123456789/9347 | |
| dc.identifier.uri | https://doi.org/10.34657/8385 | |
| dc.language.iso | eng | |
| dc.publisher | Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik | |
| dc.relation.doi | https://doi.org/10.20347/WIAS.PREPRINT.2697 | |
| dc.relation.hasversion | https://doi.org/10.1137/20M1373876 | |
| 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 | Randomized optimal stopping | eng |
| dc.subject.other | convergence rates | eng |
| dc.subject.other | Bermudan options | eng |
| dc.title | Randomized optimal stopping algorithms and their convergence analysis | 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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