Solving optimal stopping problems under model uncertainty via empirical dual optimisation
Denis Belomestny, Tobias Hübner, Volker Krätschmer
| Year of publication: |
2022
|
|---|---|
| Authors: | Belomestny, Denis ; Hübner, Tobias ; Krätschmer, Volker |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 1432-1122, ZDB-ID 1467022-7. - Vol. 26.2022, 3, p. 461-503
|
| Subject: | Concentration inequalities | Covering numbers | Dual representation | Empirical dual optimisation | Generative models | Model uncertainty | Optimal stopping | Suchtheorie | Search theory | Mathematische Optimierung | Mathematical programming | Risiko | Risk | Entscheidung unter Unsicherheit | Decision under uncertainty | Modellierung | Scientific modelling |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00780-022-00480-z [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013440233