On Optimal Stopping Problems for Matrix-Exponential Jump-Diffusion Processes (Q2897161): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
Property / OpenAlex ID | |||
Property / OpenAlex ID: W2040459019 / rank | |||
Normal rank |
Revision as of 02:29, 20 March 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | On Optimal Stopping Problems for Matrix-Exponential Jump-Diffusion Processes |
scientific article |
Statements
On Optimal Stopping Problems for Matrix-Exponential Jump-Diffusion Processes (English)
0 references
8 July 2012
0 references
optimal stopping problem
0 references
American call-type reward function
0 references
averaging problem
0 references
matrix-exponential distribution
0 references
jump-diffusion process
0 references