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Solving the optimal stopping problem with reinforcement learning: an application in financial option exercise.
Leonardo Kanashiro Felizardo
Elia Yathie Matsumoto
Emilio Del-Moral-Hernandez
Published in:
CoRR (2022)
Keyphrases
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optimal stopping
reinforcement learning
finite horizon
brownian motion
optimal policy
markov decision processes
infinite horizon
differential equations
optimal control
image processing
state space
special case
diffusion process