11 citations · 17 across the 5 of their papers we have counts for
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math.OC2020
Reinforced optimal control
Christian Bayer, Denis Belomestny, Paul Hager +3
Least squares Monte Carlo methods are a popular numerical approximation method for solving stochastic control problems. Based on dynamic programming, their key feature is the appro…
math.PR2020★ 2 cited
The Multiplicative Chaos of Fractional Brownian Fields
Paul Hager, Eyal Neuman
We consider a family of fractional Brownian fields on , where 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…