Numerical methods for an optimal multiple stopping problem (Q2816573): Difference between revisions
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Revision as of 09:39, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Numerical methods for an optimal multiple stopping problem |
scientific article |
Statements
Numerical methods for an optimal multiple stopping problem (English)
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23 August 2016
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quantization
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swing option
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optimal multiple stopping time problem
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convergence
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viscosity solution
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Hamilton-Jacobi-Bellman variational inequality
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numerical results
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