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arXiv research

A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.

168,932 papers · 148 categories

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0111 · Jun 201919922001200920172026
1 result for “semi-tractability”
Semi-tractability of optimal stopping problems via a weighted stochastic mesh algorithmq-fin.CP

A new algorithm approximates optimal stopping problems with semi-tractable complexity.

problem Approximating the value of optimal stopping problems in discrete and continuous time.
method Weighted Stochastic Mesh (WSM) Algorithm for discrete and continuous time optimal stopping problems.
result WSM leads to semi-tractable complexity in discrete cases, with complexity bounded by ε−4log⁡d+2(1/ε)\varepsilon^{-4}\log^{d+2}(1/\varepsilon).
optimal stoppingstochastic meshsemi-tractabilitycomplexity boundsMarkov chain
2019-06-22abs ↗pdf ↗