Research Seminar Series in Statistics and Mathematics

WU (Vienna University of Economics and Business) , Departments 4 D4.4.008

Type Lecture / discussion
LanguageEnglish
Speaker Patrick Cheridito (Department of Mathematics, ETH Zurich)
Organizer Institute Statistik und Mathematik
Contact katrin.artner@wu.ac.at

Patrick Cheridito (Department of Mathematics, ETH Zurich) about "Deep optimal stopping"

The Institute for Statistics and Mathematics (Department of Finance, Accounting and Statistics) cordially invites everyone interested to attend the talks in our Research Seminar Series, where internationally renowned scholars from leading universities present and discuss their (working) papers.

No registration required.

The list of talks for the winter term 2019/20 is available via the following link: https://www.wu.ac.at/en/statmath/resseminar

Abstract:
I present a deep learning method for optimal stopping problems which directly learns the optimal stopping rule from Monte Carlo samples. As such it is broadly applicable in situations where the underlying randomness can efficiently be simulated. The approach is tested on different problems. In all cases it produces very accurate results in high-dimensional situations with short computing times.

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