Purely dual approach for optimal stopping problems via regression
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DOI: 10.1080/00949655.2025.2501398
Abstract: In this paper, we develop a regression-based approach for optimal stopping problems in a dual manner. The method is purely dual as it does not require given approximations to Snell envelope. This method produces stopping… read more here.
Keywords: optimal stopping; approach optimal; stopping problems; regression ... See more keywords