Semitractability of optimal stopping problems via a weighted stochastic mesh algorithm. Belomestny, D., Kaledin, M., & Schoenmakers, J. Math. Finance, 30(4):1591–1616, 2020.
Paper doi bibtex @article {MR4154780,
AUTHOR = {Belomestny, Denis and Kaledin, Maxim and Schoenmakers, John},
TITLE = {Semitractability of optimal stopping problems via a weighted
stochastic mesh algorithm},
JOURNAL = {Math. Finance},
FJOURNAL = {Mathematical Finance. An International Journal of Mathematics,
Statistics and Financial Economics},
VOLUME = {30},
YEAR = {2020},
NUMBER = {4},
PAGES = {1591--1616},
ISSN = {0960-1627},
MRCLASS = {91G60 (60G40 60H30 91G20)},
MRNUMBER = {4154780},
DOI = {10.1111/mafi.12271},
URL = {https://doi.org/10.1111/mafi.12271},
}
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