Solving optimal stopping problems under model uncertainty via empirical dual optimisation
Year of publication: |
2022
|
---|---|
Authors: | Belomestny, Denis ; Hübner, Tobias ; Krätschmer, Volker |
Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 1432-1122, ZDB-ID 1467022-7. - Vol. 26.2022, 3, p. 461-503
|
Subject: | Concentration inequalities | Covering numbers | Dual representation | Empirical dual optimisation | Generative models | Model uncertainty | Optimal stopping | Mathematische Optimierung | Mathematical programming | Risiko | Risk | Suchtheorie | Search theory | Modellierung | Scientific modelling | Entscheidung unter Unsicherheit | Decision under uncertainty |
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