TL;DR通过卷积神经网络和 Monte Carlo 模拟,采用数据驱动的方法解决了最优停机问题,并在金融期权问题上取得了比基于最小二乘 Monte Carlo 算法更为精确的结果。
Abstract
The optimal stopping problem is a category of decision problems with a specific constrained configuration. It is relevant to various real-world applications such as finance and management. To solve the optimal stopping