pith. sign in

arxiv: 1808.02341 · v3 · pith:QYHHTZTTnew · submitted 2018-08-07 · 🧮 math.NA · cs.NA· q-fin.CP· stat.ML

Optimal stopping via reinforced regression

classification 🧮 math.NA cs.NAq-fin.CPstat.ML
keywords regressionalgorithmsoptimalreinforcedstoppingaddingapproachbackward
0
0 comments X
read the original abstract

In this note we propose a new approach towards solving numerically optimal stopping problems via reinforced regression based Monte Carlo algorithms. The main idea of the method is to reinforce standard linear regression algorithms in each backward induction step by adding new basis functions based on previously estimated continuation values. The proposed methodology is illustrated by a numerical example from mathematical finance.

This paper has not been read by Pith yet.

discussion (0)

Sign in with ORCID, Apple, or X to comment. Anyone can read and Pith papers without signing in.