How can the dual martingale help solving the primal optimal stopping problem?
Abstract
Motivated by recent results on the dual formulation of optimal stopping problems, we investigate in this short paper how the knowledge of an approximating dual martingale can improve the efficiency of primal methods. In particular, we show on numerical examples that accurate approximations of a dual martingale efficiently reduce the variance for the primal optimal stopping problem.
Fields of Study & Subjects
Stochastic processes and financial applications
Risk and Portfolio Optimization
Adaptive Dynamic Programming Control
Publication details
- Journal / source
- arXiv (Cornell University)
- Publication date
- 10 February 2026
- Language
- EN
- Document type
- Preprint