In this paper we consider a method of solving optimal stopping problems in discrete and continuous time based on their dual representation. A novel and generic simulation-based optimization algorithm ...

Optimal stopping problems constitute a pivotal area in applied mathematics and statistics, where the objective is to determine the most opportune moment to terminate a stochastic process in order to ...

Determining the least expensive path for a new subway line underneath a metropolis like New York City is a colossal planning challenge—involving thousands of potential routes through hundreds of city ...