Intensity-based framework and penalty formulation of optimal stopping problems

DOI10.1016/j.jedc.2007.01.016zbMath1163.91389OpenAlexW3124366669WikidataQ60148451 ScholiaQ60148451MaRDI QIDQ1029998

Yue Kuen Kwok, Min Dai, Hong You

Publication date: 1 July 2009

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: http://repository.ust.hk/ir/bitstream/1783.1-3303/1/Int_Bas.pdf

zbMATH Keywords

penalty methodcallable featureevent riskintensity approachlinear complementarity formulationmortgage prepayment

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) PDEs with randomness, stochastic partial differential equations (35R60)

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