A nonparametric algorithm for optimal stopping based on robust optimization

Optimal stopping is a fundamental class of stochastic dynamic optimization problems with numerous applications in finance and operations management. We introduce a new approach for solving computationally-demanding stochastic optimal stopping problems with known probability distributions. The approa...

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Bibliographische Detailangaben

1. Verfasser:	Sturt, Bradley
Format:	Artikel
Sprache:	eng
Schlagworte:	Mathematics - Optimization and Control Quantitative Finance - Computational Finance
Online-Zugang:	Volltext bestellen
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