Optimal stopping with randomly arriving opportunities to stop
| dc.bibliographicCitation.seriesTitle | WIAS Preprints | eng |
| dc.bibliographicCitation.volume | 3056 | |
| dc.contributor.author | Dekker, Josha A. | |
| dc.contributor.author | Laeven, Roger J. A. | |
| dc.contributor.author | Schoenmakers, John G. M. | |
| dc.contributor.author | Vellekoop, Michel H. | |
| dc.date.accessioned | 2026-03-26T09:05:46Z | |
| dc.date.available | 2026-03-26T09:05:46Z | |
| dc.date.issued | 2023 | |
| dc.description.abstract | We develop methods to solve general optimal stopping problems with opportunities to stop that arrive randomly. Such problems occur naturally in applications with market frictions. Pivotal to our approach is that our methods operate on random rather than deterministic time scales. This enables us to convert the original problem into an equivalent discrete-time optimal stopping problem with natural number valued stopping times and a possibly infinite horizon. To numerically solve this problem, we design a random times least squares Monte Carlo method. We also analyze an iterative policy improvement procedure in this setting. We illustrate the efficiency of our methods and the relevance of randomly arriving opportunities in a few examples. | eng |
| dc.description.version | publishedVersion | eng |
| dc.identifier.uri | https://oa.tib.eu/renate/handle/123456789/33684 | |
| dc.identifier.uri | https://doi.org/10.34657/32752 | |
| dc.language.iso | eng | |
| dc.publisher | Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik | |
| dc.relation.doi | https://doi.org/10.20347/WIAS.PREPRINT.3056 | |
| dc.relation.essn | 2198-5855 | |
| dc.relation.issn | 0946-8633 | |
| 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 on random times | eng |
| dc.subject.other | infinite horizon | eng |
| dc.subject.other | duality | eng |
| dc.subject.other | least squares regression | eng |
| dc.subject.other | policy improvement | eng |
| dc.title | Optimal stopping with randomly arriving opportunities to stop | eng |
| dc.type | Report | |
| tib.accessRights | openAccess | |
| wgl.contributor | WIAS | |
| wgl.subject | Mathematik | |
| wgl.type | Report / Forschungsbericht / Arbeitspapier |
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