OPTIMAL STOPPING WITH SIGNATURES

• 成果类型: Article
• 署名作者: Bayer, Christian; Hager, Paul P.; Riedel, Sebastian; Schoenmakers, John
• 署名单位: Leibniz Association; Weierstrass Institute for Applied Analysis & Stochastics; Humboldt University of Berlin; Fern University Hagen
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• DOI: 10.1214/22-AAP1814
• 发表日期: 2023
• 页码: 238-273
• 关键词: rough; path

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