Convex regression and optimal stopping
Speaker:
Chris Rogers, University of Nevada, Reno
Date and Time:
Tuesday, March 23, 2010 - 11:45am to 12:30pm
Location:
Fields Institute, Room 230
Abstract:
There are many examples, particularly in finance, of optimal stopping problems where the state variable is some point in Euclidean space, and the value function is convex in the state variable. This then permits approximation of the value function as the maximum of a sequence of linear functionals, an approach which has various advantages. The purpose of this paper is to present the methodology and explore its consequences.