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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 . We co…
math.PR2021★ 11 cited
Unified Signature Cumulants and Generalized Magnus Expansions
Peter K. Friz, Paul Hager, Nikolas Tapia
The signature of a path can be described as its full non-commutative exponential. Following T. Lyons we regard its expectation, the expected signature, as path space analogue of th…