DeepMartingale: Duality of the Optimal Stopping Problem with Expressivity and High-Dimensional Hedging
arXiv:2510.13868v2 Announce Type: replace-cross Abstract: We propose textit{DeepMartingale}, a deep-learning framework for the dual formulation of discrete-monitoring optimal stopping problems under continuous-time models. Leveraging a martingale representation, our method implements a emph{pure-dual} procedure that directly optimizes over a parameterized class of martingales, producing computable and tight emph{dual upper bounds} for the value function in high-dimensional settings without requiring any primal information or Snell-envelope approximation. We prove convergence of the resulting upper bounds under mild assumptions for both first- […]