Advanced Simulation-Based Methods for Optimal Stopping and Control
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Published By Palgrave Macmillan UK

9781137033505, 9781137033512

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Duality for Optimal Stopping

Advanced Simulation-Based Methods for Optimal Stopping and Control ◽

10.1057/978-1-137-03351-2_9 ◽

2018 ◽

pp. 161-175

Author(s):

Denis Belomestny ◽

John Schoenmakers

Keyword(s):

Optimal Stopping

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Primal Approximation Methods for Optimal Stopping

Advanced Simulation-Based Methods for Optimal Stopping and Control ◽

10.1057/978-1-137-03351-2_6 ◽

2018 ◽

pp. 83-96

Author(s):

Denis Belomestny ◽

John Schoenmakers

Keyword(s):

Optimal Stopping ◽

Approximation Methods

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Dual Methods for General Optimal Control

Advanced Simulation-Based Methods for Optimal Stopping and Control ◽

10.1057/978-1-137-03351-2_11 ◽

2018 ◽

pp. 189-199

Author(s):

Denis Belomestny ◽

John Schoenmakers

Keyword(s):

Optimal Control ◽

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Dual Monte Carlo Algorithms for Optimal Stopping

Advanced Simulation-Based Methods for Optimal Stopping and Control ◽

10.1057/978-1-137-03351-2_12 ◽

2018 ◽

pp. 201-285

Author(s):

Denis Belomestny ◽

John Schoenmakers

Keyword(s):

Monte Carlo ◽

Optimal Stopping ◽

Monte Carlo Algorithms

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Stochastic Policy Iteration Methods

Advanced Simulation-Based Methods for Optimal Stopping and Control ◽

10.1057/978-1-137-03351-2_7 ◽

2018 ◽

pp. 97-134

Author(s):

Denis Belomestny ◽

John Schoenmakers

Keyword(s):

Policy Iteration ◽

Iteration Methods

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Duality for Multiple Stopping

Advanced Simulation-Based Methods for Optimal Stopping and Control ◽

10.1057/978-1-137-03351-2_10 ◽

2018 ◽

pp. 177-187

Author(s):

Denis Belomestny ◽

John Schoenmakers

Keyword(s):

Multiple Stopping

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Elementary Monte Carlo Methods

Advanced Simulation-Based Methods for Optimal Stopping and Control ◽

10.1057/978-1-137-03351-2_2 ◽

2018 ◽

pp. 13-32

Author(s):

Denis Belomestny ◽

John Schoenmakers

Keyword(s):

Monte Carlo ◽

Monte Carlo Methods

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Regression Methods for Markovian Control Problems

Advanced Simulation-Based Methods for Optimal Stopping and Control ◽

10.1057/978-1-137-03351-2_8 ◽

2018 ◽

pp. 135-158

Author(s):

Denis Belomestny ◽

John Schoenmakers

Keyword(s):

Control Problems ◽

Regression Methods

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Multilevel Methods

Advanced Simulation-Based Methods for Optimal Stopping and Control ◽

10.1057/978-1-137-03351-2_4 ◽

2018 ◽

pp. 55-75

Author(s):

Denis Belomestny ◽

John Schoenmakers

Keyword(s):

Multilevel Methods

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Variance Reduction for SDEs

Advanced Simulation-Based Methods for Optimal Stopping and Control ◽

10.1057/978-1-137-03351-2_3 ◽

2018 ◽

pp. 33-53

Author(s):

Denis Belomestny ◽

John Schoenmakers

Keyword(s):

Variance Reduction

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