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arXiv · 1707.05250

Discrete-type approximations for non-Markovian optimal stopping problems: Part II

Sérgio C. Bezerra·Alberto Ohashi·Francesco Russo·Francys de Souza
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Abstract

In this paper, we present a Longstaff-Schwartz-type algorithm for optimal stopping time problems based on the Brownian motion filtration. The algorithm is based on Leão, Ohashi and Russo and, in contrast to previous works, our methodology applies to optimal stopping problems for fully non-Markovian and non-semimartingale state processes such as functionals of path-dependent stochastic differential equations and fractional Brownian motions. Based on statistical learning theory techniques, we provide overall error estimates in terms of concrete approximation architecture spaces with finite Vapnik-Chervonenkis dimension. Analytical properties of continuation values for path-dependent SDEs and concrete linear architecture approximating spaces are also discussed.

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Sérgio C. Bezerra, Alberto Ohashi, Francesco Russo, Francys de Souza. 2019-12-04. Discrete-type approximations for non-Markovian optimal stopping problems: Part II. https://arxiv.org/abs/1707.05250

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