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math.PR2022★ 1 cited
Convergence of the Backward Deep BSDE Method with Applications to Optimal Stopping Problems
Chengfan Gao, Siping Gao, Ruimeng Hu +1
The optimal stopping problem is one of the core problems in financial markets, with broad applications such as pricing American and Bermudan options. The deep BSDE method [Han, Jen…
math.PR2021
A Class of Dimension-free Metrics for the Convergence of Empirical Measures
Jiequn Han, Ruimeng Hu, Jihao Long
This paper concerns the convergence of empirical measures in high dimensions. We propose a new class of probability metrics and show that under such metrics, the convergence is fre…