Weighted stochastic mesh algorithm achieves semi-tractability for discrete optimal stopping problems with complexity bounded by ε^{-4} log^{d+2}(1/ε).
Advanced Simulation-Based Methods for Optimal Stopping and Control: With Applications in Finance
1 Pith paper cite this work. Polarity classification is still indexing.
1
Pith paper citing it
fields
q-fin.CP 1years
2019 1verdicts
UNVERDICTED 1representative citing papers
citing papers explorer
-
Semi-tractability of optimal stopping problems via a weighted stochastic mesh algorithm
Weighted stochastic mesh algorithm achieves semi-tractability for discrete optimal stopping problems with complexity bounded by ε^{-4} log^{d+2}(1/ε).