Neural Optimal Stopping Boundary
CMSA Room G10 CMSA, 20 Garden Street, Cambridge, MA, United StatesSpeaker: Max Reppen (Boston University) Title: Neural Optimal Stopping Boundary Abstract: A method based on deep artificial neural networks and empirical risk minimization is developed to calculate the boundary separating the stopping and continuation regions in optimal stopping. The algorithm parameterizes the stopping boundary as the graph of a function and introduces relaxed stopping rules based on fuzzy […]