Solving optimal stopping problems via empirical dual optimization. Belomestny, D. Ann. Appl. Probab., 23(5):1988–2019, 2013.
Paper doi bibtex @article {MR3134728,
AUTHOR = {Belomestny, Denis},
TITLE = {Solving optimal stopping problems via empirical dual
optimization},
JOURNAL = {Ann. Appl. Probab.},
FJOURNAL = {The Annals of Applied Probability},
VOLUME = {23},
YEAR = {2013},
NUMBER = {5},
PAGES = {1988--2019},
ISSN = {1050-5164},
MRCLASS = {60G40 (60G44 60H30 91G20)},
MRNUMBER = {3134728},
MRREVIEWER = {Hongzhong Zhang},
DOI = {10.1214/12-AAP892},
URL = {https://doi.org/10.1214/12-AAP892},
}
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