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Random Stopping Times in Stopping Problems and Stopping Games

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arxiv 1211.5802 v1 pith:O2Z5Z2C3 submitted 2012-11-25 math.PR

Eilon Solan , Boris Tsirelson , Nicolas Vieille This is my paper · ORCID
classification math.PR
keywords stoppingrandomtimesconceptsgamesnotionsproblemsthree
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Three notions of random stopping times exist in the literature. We introduce two concepts of equivalence of random stopping times, motivated by optimal stopping problems and stopping games respectively. We prove that these two concepts coincide and that the three notions of random stopping times are equivalent.

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    cs.CE 2019-08 conditional novelty 6.0 of 10

    A single-objective deep learning algorithm for high-dimensional optimal stopping problems computes both approximate optimal exercise strategies and option prices, demonstrated on Bermudan max-call options in up to 500...

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