Solving optimal stopping problems under model uncertainty via empirical dual optimisation. Belomestny, D., Hübner, T., & Krätschmer, V. Finance Stoch., 26(3):461–503, 2022.
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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