2 papers
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…
math.PR2018
Maximum likelihood drift estimation for a threshold diffusion
Antoine Lejay, Paolo Pigato
We study the maximum likelihood estimator of the drift parameters of a stochastic differential equation, with both drift and diffusion coefficients constant on the positive and neg…