Solving optimal stopping problems under model uncertainty via empirical dual optimisation. Belomestny, D., Hübner, T., & Krätschmer, V. Finance Stoch., 26(3):461–503, 2022.
Solving optimal stopping problems under model uncertainty via empirical dual optimisation [link]Paper  doi  bibtex   
@article {MR4447251,
    AUTHOR = {Belomestny, Denis and H\"{u}bner, Tobias and Kr\"{a}tschmer, Volker},
     TITLE = {Solving optimal stopping problems under model uncertainty via
              empirical dual optimisation},
   JOURNAL = {Finance Stoch.},
  FJOURNAL = {Finance and Stochastics},
    VOLUME = {26},
      YEAR = {2022},
    NUMBER = {3},
     PAGES = {461--503},
      ISSN = {0949-2984},
   MRCLASS = {60G40 (60G17 90C47 91G20)},
  MRNUMBER = {4447251},
       DOI = {10.1007/s00780-022-00480-z},
       URL = {https://doi.org/10.1007/s00780-022-00480-z},
}

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