Optimal stopping of Markov processes: Hilbert space theory, approximation algorithms, and an application to pricing high-dimensional financial derivatives (Q4506926): Difference between revisions

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scientific article; zbMATH DE number 1518447
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Optimal stopping of Markov processes: Hilbert space theory, approximation algorithms, and an application to pricing high-dimensional financial derivatives
scientific article; zbMATH DE number 1518447

    Statements

    Optimal stopping of Markov processes: Hilbert space theory, approximation algorithms, and an application to pricing high-dimensional financial derivatives (English)
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    17 October 2000
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    complex systems
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    dynamic programming
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    optimal stopping
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    stochastic approximation
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