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math.OC2025
DeepMartingale: Duality of the Optimal Stopping Problem with Expressivity and High-Dimensional Hedging
Junyan Ye, Hoi Ying Wong
We propose \textit{DeepMartingale}, a deep-learning framework for the dual formulation of discrete-monitoring optimal stopping problems under continuous-time models. Leveraging a m…
math.OC2025
Robust Exploratory Stopping under Ambiguity in Reinforcement Learning
Junyan Ye, Hoi Ying Wong, Kyunghyun Park
We propose and analyze a continuous-time robust reinforcement learning framework for optimal stopping under ambiguity. In this framework, an agent chooses a robust exploratory stop…