(Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik, 2020) Bayer, Christian; Belomestny, Denis; Hager, Paul; Pigato, Paolo; Schoenmakers, John G. M.
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.
