Entropy-regularized penalization schemes and reflected BSDEs with singular generators
Fuente:
arXiv
Enregistré dans:
| Auteurs principaux: | , , |
|---|---|
| Format: | Preprint |
| Publié: |
2026
|
| Sujets: | |
| Accès en ligne: | |
| Tags: |
Ajouter un tag
Pas de tags, Soyez le premier à ajouter un tag!
|
| _version_ | 1866908861059825664 |
|---|---|
| author | Chee, Daniel Frikha, Noufel Li, Libo |
| author_facet | Chee, Daniel Frikha, Noufel Li, Libo |
| contents | This paper extends our previous work to continuous-time optimal stopping, focusing on American options in an exploratory setting. Our first contribution is an entropy-regularized penalization scheme, inspired by classical penalization techniques for reflected BSDEs. It yields a smooth approximation of the stopping rule, promotes exploration, and enables gradient-based learning methods. We prove well-posedness, convergence, and illustrate numerical performance in low-dimensional examples. Our second contribution analyzes the behaviour of the scheme as the penalization parameter grows, showing that the limit solves a reflected BSDE with a logarithmically singular generator, for which we establish existence and uniqueness via a monotone limit argument. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2602_18078 |
| institution | arXiv |
| publishDate | 2026 |
| record_format | arxiv |
| spellingShingle | Entropy-regularized penalization schemes and reflected BSDEs with singular generators Chee, Daniel Frikha, Noufel Li, Libo Mathematical Finance 91G20, 60G40, 35R35 This paper extends our previous work to continuous-time optimal stopping, focusing on American options in an exploratory setting. Our first contribution is an entropy-regularized penalization scheme, inspired by classical penalization techniques for reflected BSDEs. It yields a smooth approximation of the stopping rule, promotes exploration, and enables gradient-based learning methods. We prove well-posedness, convergence, and illustrate numerical performance in low-dimensional examples. Our second contribution analyzes the behaviour of the scheme as the penalization parameter grows, showing that the limit solves a reflected BSDE with a logarithmically singular generator, for which we establish existence and uniqueness via a monotone limit argument. |
| title | Entropy-regularized penalization schemes and reflected BSDEs with singular generators |
| topic | Mathematical Finance 91G20, 60G40, 35R35 |
| url | https://arxiv.org/abs/2602.18078 |