Pathwise Optimization for Optimal Stopping Problems

We introduce the pathwise optimization (PO) method, a new convex optimization procedure to produce upper and lower bounds on the optimal value (the "price") of a high-dimensional optimal stopping problem. The PO method builds on a dual characterization of optimal stopping problems as optim...

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Veröffentlicht in:	Management science 2012-12, Vol.58 (12), p.2292-2308
Hauptverfasser:	Desai, Vijay V., Farias, Vivek F., Moallemi, Ciamac C.
Format:	Artikel
Sprache:	eng
Schlagworte:	Algorithms American option American options Analysis Applied sciences Approximate values Approximation Bermudian options Dynamic programming Econometrics Economic dynamics Economic performance Exact sciences and technology Management science Markov chains Markov processes Markovian processes Martingales Mathematical functions Mathematical optimization Mathematical programming Multidimensional scales Operational research and scientific management Operational research. Management science optimal control optimal stopping Optimal stopping (Mathematical statistics) Optimization Portfolio theory Predictability Pricing Studies
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