Abstract
AbstractA Monte Carlo method for solving the multi-dimensional optimal stopping problem is considered. Consistent estimators for a general jump-diffusion are pointed out. It is shown that the variance of estimators is inverse proportional to the number of points in each layer of the mesh.
Funder
Russian Foundation for Basic Research
Subject
Applied Mathematics,Statistics and Probability
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1. Stochastic Mesh Method for Optimal Stopping Problems;Vestnik St. Petersburg University, Mathematics;2020-07