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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.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…