Solution of the Optimal Stopping Problem for One-Dimensional Diffusion Based on a Modification of the Payoff Function (Q2838155)
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scientific article; zbMATH DE number 6185274
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| English | Solution of the Optimal Stopping Problem for One-Dimensional Diffusion Based on a Modification of the Payoff Function |
scientific article; zbMATH DE number 6185274 |
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Solution of the Optimal Stopping Problem for One-Dimensional Diffusion Based on a Modification of the Payoff Function (English)
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8 July 2013
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Markov chain
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Markov process
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one-dimensional diffusion
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optimal stopping
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elimination algorithm
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0.93651533
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0.93597305
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0.9349158
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0.9330431
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0.92998344
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0.9289964
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0.92786324
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0.92473775
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