Optimal stopping via reinforced regression
classification
🧮 math.NA
cs.NAq-fin.CPstat.ML
keywords
regressionalgorithmsoptimalreinforcedstoppingaddingapproachbackward
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.