Paul Hager

most citedThe Multiplicative Chaos of

H = 0

Fractional Brownian Fields

2 citations · 2 across the 1 of their papers we have counts for

collaborators

3 papers

math.PR2021

Optimal stopping with signatures

Christian Bayer, Paul Hager, Sebastian Riedel +1

We propose a new method for solving optimal stopping problems (such as American option pricing in finance) under minimal assumptions on the underlying stochastic process $X$ . We co…

math.PR2020★ 2 cited

The Multiplicative Chaos of $H = 0$ Fractional Brownian Fields

Paul Hager, Eyal Neuman

We consider a family of fractional Brownian fields ${B^{H}}_{H \in (0, 1)}$ on $R^{d}$ , where $H$ denotes their Hurst parameter. We first define a rich class of normalizin…

math.OC2020

Randomized optimal stopping algorithms and their convergence analysis

Christian Bayer, Denis Belomestny, Paul Hager +2

In this paper we study randomized optimal stopping problems and consider corresponding forward and backward Monte Carlo based optimisation algorithms. In particular we prove the co…

Optimal stopping with signatures

The Multiplicative Chaos of H=0 Fractional Brownian Fields

Randomized optimal stopping algorithms and their convergence analysis

The Multiplicative Chaos of $H = 0$ Fractional Brownian Fields