Optimal stopping with signatures

Christian Bayer,Paul P. Hager,Sebastian Riedel,John Schoenmakers

arxiv（2023）

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摘要

We propose a new method for solving optimal stopping problems (such as American option pricing in finance) under minimal assumptions on the un-derlying stochastic process X. We consider classic and randomized stopping times represented by linear and nonlinear functionals of the rough path sig-nature X更多

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关键词

Signature,rough paths,optimal stopping,deep learning,fractional Brownian motion

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