Multilevel Simulation Based Policy Iteration for Optimal Stopping--Convergence and Complexity
Work
Year: 2015
Type: article
Abstract: This paper presents a novel approach to reducing the complexity of simulation based policy iteration methods for solving optimal stopping problems. Typically, Monte Carlo construction of an improved p... more
Institutions University of Duisburg-Essen, Weierstrass Institute for Applied Analysis and Stochastics
Cites: 25
Cited by: 4
Related to: 10
FWCI: 0.383
Citation percentile (by year/subfield): 77.3
Subfield: Finance
Domain: Social Sciences
Open Access status: green