English(EN) Error Propagation in Dynamic Programming: From Stochastic Control to American Option Pricing

随机最优控制与期权定价新框架

作者 PulseAugur 编辑部 · [1 个来源] · 2026-10-05 04:00

本文深入探讨了离散时间随机最优控制的理论基础，提出了一个新的动态规划框架。它引入了在再生核希尔伯特空间中使用非参数回归和蒙特卡洛子采样来估计价值函数的方法。该研究侧重于分析误差如何在时间上向后传播，这是该领域一个较少被探索的领域，并展示了其在美式期权定价中的应用。 AI

影响引入了随机控制中价值函数估计的新方法，可能影响AI在金融和不确定性决策中的应用。

排序理由关于随机最优控制理论基础及其在金融建模中应用的学术论文。

AI 生成摘要 · Google Gemini · 来自 1 个来源。我们如何撰写摘要 →

本文如何被排名

Signal score: 5 / 100; Composite score across the factors below. Higher = stronger signal that this story matters right now.
Newsworthiness bucket: Tool; 关于随机最优控制理论基础及其在金融建模中应用的学术论文。
Source corroboration: Single-source cluster; Only one publisher covered this so far. Single-source stories can still rank when the publisher is high-authority, but they lack cross-source corroboration.
Topics: paper, other; Editorial topic classification. Feeds into how the story surfaces on /topic/<slug> hub pages and into the per-entity coverage mix.
AI-industry relevance: High; Clearly on-topic for AI-industry coverage.
Story freshness: Same-day; Cluster formed today. Ranking reflects the current source set at time of score.

完整方法见我们的编辑标准。

arXiv cs.LG TIER_1 English(EN) · Andrea Della Vecchia, Damir Filipovi\'c · 2026-10-05 04:00

动态规划中的误差传播：从随机控制到美式期权定价

arXiv:2509.20239v2 Announce Type: replace-cross Abstract: This paper investigates theoretical and methodological foundations for stochastic optimal control (SOC) in discrete time. We start formulating the control problem in a general dynamic programming framework, introducing the…