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Stochastic mesh method for optimal stopping problems. / Kashtanov, Yuri.
в: Monte Carlo Methods and Applications, Том 23, № 2, 01.06.2017, стр. 121-129.Результаты исследований: Научные публикации в периодических изданиях › статья › Рецензирование
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TY - JOUR
T1 - Stochastic mesh method for optimal stopping problems
AU - Kashtanov, Yuri
PY - 2017/6/1
Y1 - 2017/6/1
N2 - A Monte Carlo method for solving the multi-dimensional optimal stopping problem is considered. Consistent estimators for a general jump-diffusion are pointed out. It is shown that the variance of estimators is inverse proportional to the number of points in each layer of the mesh.
AB - A Monte Carlo method for solving the multi-dimensional optimal stopping problem is considered. Consistent estimators for a general jump-diffusion are pointed out. It is shown that the variance of estimators is inverse proportional to the number of points in each layer of the mesh.
KW - Optimal stopping
KW - Stochastic mesh
UR - http://www.scopus.com/inward/record.url?scp=85020379274&partnerID=8YFLogxK
U2 - 10.1515/mcma-2017-0107
DO - 10.1515/mcma-2017-0107
M3 - Article
AN - SCOPUS:85020379274
VL - 23
SP - 121
EP - 129
JO - Monte Carlo Methods and Applications
JF - Monte Carlo Methods and Applications
SN - 0929-9629
IS - 2
ER -
ID: 50873067