Error Propagation in Dynamic Programming: From Stochastic Control to Option Pricing

By Andrea Della Vecchia, Damir Filipović

Published 2025-09-24

Everscope rating

1755.1

Relevance to quantitative trading

8 / 10

Implementation complexity

6 / 10

Reproducibility

3 / 5

About this paper

Methodology: KRR-DP (Kernel Ridge Regression - Dynamic Programming). Problem types: Optimization, Regression, Reinforcement Learning, Stochastic Control, Option Pricing.

arXiv:2509.20239 · Code · Paper rankings

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