Solving optimal stopping problems under model uncertainty via empirical dual optimisation
Year of publication: |
2022
|
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Authors: | Belomestny, Denis ; Hübner, Tobias ; Krätschmer, Volker |
Published in: |
Finance and Stochastics. - Berlin, Heidelberg : Springer, ISSN 1432-1122. - Vol. 26.2022, 3, p. 461-503
|
Publisher: |
Berlin, Heidelberg : Springer |
Subject: | Model uncertainty | Optimal stopping | Dual representation | Empirical dual optimisation | Generative models | Covering numbers | Concentration inequalities |
Type of publication: | Article |
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Type of publication (narrower categories): | Article |
Language: | English |
Other identifiers: | 10.1007/s00780-022-00480-z [DOI] |
Classification: | C73 - Stochastic and Dynamic Games ; G12 - Asset Pricing ; D81 - Criteria for Decision-Making under Risk and Uncertainty |
Source: |
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Solving optimal stopping problems under model uncertainty via empirical dual optimisation
Belomestny, Denis, (2022)
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