
arXiv: 2305.09766
We study the properties of the free boundaries and the corresponding hitting times in the context of optimal stopping in discrete time. We first prove the continuity of the map from the boundaries to the expected value of the corresponding stopping policy both in the supremum norm and also in a weaker, novel topology induced by the relaxed $L^\infty$ metric that we introduce. The latter is particularly useful when the optimal stopping boundary is only proved to be semicontinuous. Secondly, we study the connection between the hitting times, and their relaxations as widely employed in recent numerical methods. All these results together with the universal approximation capability of neural networks and the notion of inf/sup convolution are then used to provide a convergence analysis for the algorithm in [Reppen, Soner, and Tissot-Daguette, Neural Optimal Stopping Boundary, 2025] for the numerical resolution of the exercise regions arising in the analysis of Bermudan type option.
22 pages, 5 figures
Stopping times; optimal stopping problems; gambling theory, Methods involving semicontinuity and convergence; relaxation, relaxed stopping rules, Probability (math.PR), 60G40, 49J45, 60G57, 68T07, 91G20, neural networks, Derivative securities (option pricing, hedging, etc.), optimal stopping, FOS: Mathematics, free boundaries, hitting times, Bermudan options, Mathematics - Probability, Artificial neural networks and deep learning
Stopping times; optimal stopping problems; gambling theory, Methods involving semicontinuity and convergence; relaxation, relaxed stopping rules, Probability (math.PR), 60G40, 49J45, 60G57, 68T07, 91G20, neural networks, Derivative securities (option pricing, hedging, etc.), optimal stopping, FOS: Mathematics, free boundaries, hitting times, Bermudan options, Mathematics - Probability, Artificial neural networks and deep learning
| selected citations These citations are derived from selected sources. This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically). | 0 | |
| popularity This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network. | Average | |
| influence This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically). | Average | |
| impulse This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network. | Average |
