Optimal Stopping with Gaussian Processes.

Kshama Dwarakanath Danial Dervovic Peyman Tavallali Svitlana Vyetrenko Tucker Balch

Published in: ICAIF (2022)

Keyphrases

gaussian processes
optimal stopping
finite horizon
gaussian process
brownian motion
gaussian process regression
multi task
optimal policy
diffusion process
infinite horizon
training data
prior knowledge
model selection
optimal control
hyperparameters