相关论文: Monte Carlo Algorithms for Optimal Stopping and St…

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 convergence of the proposed algorithms and derive the…

We develop methods to solve general optimal stopping problems with opportunities to stop that arrive randomly. Such problems occur naturally in applications with market frictions. Pivotal to our approach is that our methods operate on…

We propose a new approach to solve optimal stopping problems via simulation. Working within the backward dynamic programming/Snell envelope framework, we augment the methodology of Longstaff-Schwartz that focuses on approximating the…

This paper deals with the optimal stopping problem under partial observation for piecewise-deterministic Markov processes. We first obtain a recursive formulation of the optimal filter process and derive the dynamic programming equation of…

In this note we propose a new approach towards solving numerically optimal stopping problems via reinforced regression based Monte Carlo algorithms. The main idea of the method is to reinforce standard linear regression algorithms in each…

This paper is dedicated to the investigation of a new numerical method to approximate the optimal stopping problem for a discrete-time continuous state space Markov chain under partial observations. It is based on a two-step discretization…

We study a Q learning algorithm for continuous time stochastic control problems. The proposed algorithm uses the sampled state process by discretizing the state and control action spaces under piece-wise constant control processes. We show…

We develop two Regression Monte Carlo algorithms (value and performance iteration) to solve general problems of optimal stochastic control of discrete-time Markov processes. We formulate our method within an innovative framework that allow…

Discrete time stochastic optimal control problems and Markov decision processes (MDPs), respectively, serve as fundamental models for problems that involve sequential decision making under uncertainty and as such constitute the theoretical…

We introduce new variants of classical regression-based algorithms for optimal stopping problems based on computation of regression coefficients by Monte Carlo approximation of the corresponding $L^2$ inner products instead of the…

In this paper we study optimal stopping problems for nonlinear Markov processes driven by a McKean-Vlasov SDE and aim at solving them numerically by Monte Carlo. To this end we propose a novel regression algorithm based on the corresponding…

We study the numerical solution of nonlinear partially observed optimal stopping problems. The system state is taken to be a multi-dimensional diffusion and drives the drift of the observation process, which is another multi-dimensional…

Langevin algorithms are popular Markov chain Monte Carlo methods that are often used to solve high-dimensional large-scale sampling problems in machine learning. The most classical Langevin Monte Carlo algorithm is based on the overdamped…

We propose a numerical method to approximate the value function for the optimal stopping problem of a piecewise deterministic Markov process (PDMP). Our approach is based on quantization of the post jump location---inter-arrival time Markov…

The training of modern machine learning models often consists in solving high-dimensional non-convex optimisation problems that are subject to large-scale data. In this context, momentum-based stochastic optimisation algorithms have become…

We propose a unified framework that extends the inference methods for classical hidden Markov models to continuous settings, where both the hidden states and observations occur in continuous time. Two different settings are analyzed: hidden…

In this paper we study simulation based optimization algorithms for solving discrete time optimal stopping problems. This type of algorithms became popular among practioneers working in the area of quantitative finance. Using large…

In this work we consider optimal stopping problems with conditional convex risk measures called optimised certainty equivalents. Without assuming any kind of time-consistency for the underlying family of risk measures, we derive a novel…

We develop a Monte-Carlo based numerical method for solving discrete-time stochastic optimal control problems with inventory. These are optimal control problems in which the control affects only a deterministically evolving inventory…

In this paper we develop a deep learning method for optimal stopping problems which directly learns the optimal stopping rule from Monte Carlo samples. As such, it is broadly applicable in situations where the underlying randomness can…