Connection of Optimal Stopping Time to s-t Cut Problems on Trees-Reference-Cited by-同舟云学术

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Connection of Optimal Stopping Time to s-t Cut Problems on Trees

Published:2023 Issue: Volume:7 Page:3729-3734
ISSN:2475-1456
Container-title:IEEE Control Systems Letters
language:
Short-container-title:IEEE Control Syst. Lett.

Author:

Wang Yijin¹^ORCID,Ornik Melkior²^ORCID,Dong Roy³^ORCID

Affiliation:

1. Electrical and Computer Engineering Department, University of Illinois Urbana–Champaign, Urbana, IL, USA

2. Aerospace Engineering Department, University of Illinois Urbana–Champaign, Urbana, IL, USA

3. Industrial Engineering Department, University of Illinois Urbana–Champaign, Urbana, IL, USA

Publisher

Institute of Electrical and Electronics Engineers (IEEE)

Subject

Control and Optimization,Control and Systems Engineering

Link

http://xplorestaging.ieee.org/ielx7/7782633/9828546/10356902.pdf?arnumber=10356902

Reference10 articles.

1. Monte Carlo valuation of American options

2. Duality theory and approximate dynamic programming for pricing American options and portfolio optimization;Haugh,2007

3. Optimal stopping of Markov processes: Hilbert space theory, approximation algorithms, and an application to pricing high-dimensional financial derivatives

4. Beating the curse of dimensionality in options pricing and optimal stopping;Goldberg;arXiv:1807.02227,2018

5. Mixed linear and semidefinite programming for combinatorial and quadratic optimization

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