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  • Search: subject:"randomized stopping times"
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Year of publication
Subject
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randomized stopping times 2 American derivatives 1 Entropie 1 Entropy 1 Game theory 1 Mean-field game of optimal stopping 1 Search theory 1 Spieltheorie 1 Stochastic game 1 Stochastic process 1 Stochastischer Prozess 1 Stochastisches Spiel 1 Suchtheorie 1 dry markets 1 entropy regularization 1 fictitious play algorithm 1 incomplete markets 1 pricing 1 singular stochastic control 1 strong duality 1 superreplication 1
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Online availability
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CC license 1 Free 1
Type of publication
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Book / Working Paper 2
Type of publication (narrower categories)
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Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1
Language
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English 2
Author
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Dianetti, Jodi 1 Dumitrescu, Roxana 1 Ferrari, Giorgio 1 Lacerda, Ana 1 Matos, Joao Amaro de 1 Xu, Renyuan 1
Institution
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Faculdade de Economia, Universidade Nova de Lisboa 1
Published in...
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FEUNL Working Paper Series 1 Working papers / Universität Bielefeld, Center for Mathematical Economics (IMW) 1
Source
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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Entropy regularization in mean-field games of optimal stopping
Dianetti, Jodi; Dumitrescu, Roxana; Ferrari, Giorgio; … - 2025
learning-based solution methods. By utilizing randomized stopping times, we reformulate the OS-MFG as a mean-field game of …
Persistent link: https://www.econbiz.de/10015472851
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Cover Image
Dry Markets and Superreplication Bounds of American Derivatives
Matos, Joao Amaro de; Lacerda, Ana - Faculdade de Economia, Universidade Nova de Lisboa - 2004
, randomized stopping times are required. Several comparisons of the ranges obtained with the two market restrictions are performed …
Persistent link: https://www.econbiz.de/10005176494
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