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A Comparison of Iterated Optimal Stopping and Local Policy Iteration for American Options Under Regime Switching.
Josh Babbin
Peter A. Forsyth
George Labahn
Published in:
J. Sci. Comput. (2014)
Keyphrases
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optimal stopping
policy iteration
finite horizon
markov decision processes
infinite horizon
optimal policy
brownian motion
model free
optimal control
markov decision process
reinforcement learning
fixed point
finite state
dynamic programming
temporal difference
average cost
least squares