Optimal stopping

Related lectures (19)

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Covers Newton's method on Riemannian manifolds, focusing on second-order optimality conditions and quadratic convergence.

Explores the proof of the martingale convergence theorem and the concept of stopping time in square-integrable martingales.

Explores extreme points in linear programming and the role of constraints in finding optimal solutions.

Covers the Bellman equation, Q-values, discount factor, and optimal actions.

Explores self-financing strategies, asset pricing theorems, and arbitrage opportunities in financial markets.

Discusses policy iteration and linear programming methods for solving Markov Decision Processes.

Explores entropy's role in coding strategies and search algorithms, showcasing its impact on information compression and data efficiency.

Covers the Euler equation, dynamic programming, and optimal consumption in portfolio allocation.

Covers the theory and applications of optimal transport, focusing on infimal convolution and Kantorovich potentials.