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We propose a new method for solving optimal stopping problems (such as American option pricing in finance) under minimal assumptions on the underlying stochastic process $X$.
Integration of paths, geometric invariants and a generalized baker- hausdorff formula
Kuo-Tsai Chen · 1957
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Optimal stopping rules
A. N. Shiryaev · 1978
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Multilayer feedforward networks with a nonpolynomial activation function can approximate any function
Moshe Leshno, Vladimir Ya. Lin, Allan Pinkus, and Shimon Schocken · 1993
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Free Lie algebras
Christophe Reutenauer · 1993
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The structure of measurable mappings on metric spaces
Andrzej Wiśniewski · 1994
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Problems in stochastic analysis : connections between rough paths and non-commutative harmonic analysis
Thomas Fawcett · 2002
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Differential equations driven by rough paths
Terry J. Lyons, Michael Caruana, and Thierry Lévy · 2004
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An efficient algorithm for computing the baker-campbell-hausdorff series and some of its applications
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A functional extension of the ito formula
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Multidimensional stochastic processes as rough paths
Peter K. Friz and Nicolas B. Victoir · 2010
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Ben Hambly and Terry Lyons · 2010
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Ole E. Barndorff-Nielsen · 2012
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Characteristic functions of measures on geometric rough paths
Ilya Chevyrev and Terry Lyons · 2016
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Fractional Brownian motion with Hurst index H = 0 H=0 and the Gaussian Unitary Ensemble
Y. V. Fyodorov, B. A. Khoruzhenko, and N. J. Simm · 2016
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Deep optimal stopping
Sebastian Becker, Patrick Cheridito, and Arnulf Jentzen · 2019
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Functional Itô calculus
Bruno Dupire · 2019
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All adapted topologies are equal
Julio Backhoff-Veraguas, Daniel Bartl, Mathias Beiglböck, and Manu Eder · 2020
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Semiparametric estimation and inference on the fractal index of gaussian and conditionally gaussian time series data
Mikkel Bennedsen · 2020
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Log-Modulated Rough Stochastic Volatility Models
Christian Bayer, Fabian Harang, and Paolo Pigato · 2020
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Pricing american options by exercise rate optimization
Christian Bayer, Raúl Tempone, and Sören Wolfers · 2020
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A rough multi-factor model of electricity spot prices
Mikkel Bennedsen · 2017
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Jeremy Reizenstein · 2017
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A signature-based machine learning model for distinguishing bipolar disorder and borderline personality disorder
Imanol Perez Arribas, Guy M Goodwin, John R Geddes, Terry Lyons, and Kate EA Saunders · 2018
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Eyal Neuman and Mathieu Rosenbaum · 2018
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Optimal execution with rough path signatures
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Algorithm 1004: The iisignature library: Efficient calculation of iterated-integral signatures and log signatures
Jeremy F Reizenstein and Benjamin Graham · 2020
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