Multilevel simulation based policy iteration for optimal stopping—convergence and complexity. Belomestny, D., Ladkau, M., & Schoenmakers, J. SIAM/ASA J. Uncertain. Quantif., 3(1):460–483, 2015.
Paper doi bibtex @article {MR3357645,
AUTHOR = {Belomestny, Denis and Ladkau, Marcel and Schoenmakers, John},
TITLE = {Multilevel simulation based policy iteration for optimal
stopping---convergence and complexity},
JOURNAL = {SIAM/ASA J. Uncertain. Quantif.},
FJOURNAL = {SIAM/ASA Journal on Uncertainty Quantification},
VOLUME = {3},
YEAR = {2015},
NUMBER = {1},
PAGES = {460--483},
ISSN = {2166-2525},
MRCLASS = {65C30 (60H35 65C05 65C20)},
MRNUMBER = {3357645},
MRREVIEWER = {Alexandre Popier},
DOI = {10.1137/140958463},
URL = {https://doi.org/10.1137/140958463},
}
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