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math.PR2025
An Entropy Regularized BSDE Approach to Bermudan Options and Games
Noufel Frikha, Libo Li, Daniel Chee
In this paper, we investigate optimal stopping problems in a continuous-time framework where only a discrete set of stopping dates is admissible, corresponding to the Bermudan opti…
math.PR2025
On the convergence of the Euler-Maruyama scheme for McKean-Vlasov SDEs
Noufel Frikha, Xuanye Song
Building on the well-posedness of the backward Kolmogorov partial differential equation in the Wasserstein space, we analyze the strong and weak convergence rates for approximating…