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11/24/2020
Reinforced optimal control
Least squares Monte Carlo methods are a popular numerical approximation ...
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08/28/2020
Drift estimation of the threshold Ornstein-Uhlenbeck process from continuous and discrete observations
We refer by threshold Ornstein-Uhlenbeck to a continuous-time threshold ...
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02/03/2020
Randomized optimal stopping algorithms and their convergence analysis
In this paper we study randomized optimal stopping problems and consider...
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03/14/2018
Maximum likelihood drift estimation for a threshold diffusion
We study the maximum likelihood estimator of the drift parameters of a s...
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12/22/2017