In this article we propose a Weighted Stochastic Mesh (WSM) Algorithm for approximating the value of a discrete and continuous time optimal stopping problem. We prove that in the discrete case the WSM algorithm leads to
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In this article we propose a Weighted Stochastic Mesh (WSM) Algorithm for approximating the value of a discrete and continuous time optimal stopping problem. We prove that in the discrete case the WSM algorithm leads to
read more...