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We study the properties of the free boundaries and the corresponding hitting times in the context of optimal stopping in discrete time.
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Valuing american options by simulation: A simple least-squares approach
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Randomised rules for stopping problems
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Solving high-dimensional optimal stopping problems using deep learning
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Deep neural networks algorithms for stochastic control problems on finite horizon: Convergence analysis
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Controlled Diffusion Processes
N. Krylov and A. Aries · 2008
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Regularity of the free boundary of an American option on several assets
P. Laurence and S. Salsa · 2009
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Lossless convexification of a class of optimal control problems with non-convex control constraints
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