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RANDOMIZED OPTIMAL STOPPING PROBLEM IN CONTINUOUS TIME AND REINFORCEMENT LEARNING ALGORITHM.
- Source :
-
SIAM Journal on Control & Optimization . 2024, Vol. 62 Issue 3, p1590-1614. 25p. - Publication Year :
- 2024
-
Abstract
- In this paper, we study the optimal stopping problem in the so-called exploratory framework, in which the agent takes actions randomly conditioning on the current state and a regularization term is added to the reward functional. Such a transformation reduces the optimal stopping problem to a standard optimal control problem. For the American put option model, we derive the related HJB equation and prove its solvability. Furthermore, we give a convergence rate of policy iteration and compare our solution to the classical American put option problem. Our results indicate a trade-off between the convergence rate and bias in the choice of the temperature constant. Based on the theoretical analysis, a reinforcement learning algorithm is designed and numerical results are demonstrated for several models. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 03630129
- Volume :
- 62
- Issue :
- 3
- Database :
- Academic Search Index
- Journal :
- SIAM Journal on Control & Optimization
- Publication Type :
- Academic Journal
- Accession number :
- 178376542
- Full Text :
- https://doi.org/10.1137/22M1516725