Published August 30, 2024
| Version v2
Software
Open
Code for "Primal and dual optimal stopping with signatures"
Authors/Creators
-
1.
Weierstrass Institute for Applied Analysis and Stochastics
Description
This repository contains the code accompanying the paper 'Primal and dual optimal stopping with signatures'. It includes two notebooks with step-by-step explanations of the code's usage, enabling the reproduction of the numerical experiments presented in the paper.
Files
Optimal_Stopping_with_signatures-main (2).zip
Files
(317.2 kB)
| Name | Size | Download all |
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md5:0d2afc60b23cbc3938e2a460e0c24275
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158.6 kB | Preview Download |
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md5:0d2afc60b23cbc3938e2a460e0c24275
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158.6 kB | Preview Download |
Additional details
Related works
- Continues
- Journal: 10.1214/22-AAP1814 (DOI)
- Is identical to
- Software: https://github.com/lucapelizzari/Optimal_Stopping_with_signatures (URL)
- Is part of
- AA4-2 (Other)
- Is supplement to
- Preprint: 10.48550/arXiv.2312.03444 (DOI)