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How can the dual martingale help solving the primal optimal stopping problem?

Year: 2026

Type: preprint

Abstract: Motivated by recent results on the dual formulation of optimal stopping problems, we investigate in this short paper how the knowledge of an approximating dual martingale can improve the efficiency of primal methods. In particular, we show on numerical examples that accurate approximations of a dual martingale efficiently reduce the variance for the primal optimal stopping problem.

Source: arXiv (Cornell University)

DOI: 10.48550/arxiv.2602.09950

Authors: Alfonsi, Aurélien, Kebaier, Ahmed, Lelong, Jérôme

Institutions: Centre National de la Recherche Scientifique, Institut national de recherche en sciences et technologies du numérique, Université d'Évry Val-d'Essonne, Institut polytechnique de Grenoble, Laboratoire Jean Kuntzmann, MATHRISK: Mathematical Risk handling, Université Grenoble Alpes

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

Funder: Fondation du Risque

OpenAlex ID: W7128646806

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