Construction of the value function and optimal rules in optimal stopping of one-dimensional diffusions (Q3566397)
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scientific article; zbMATH DE number 5717822
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| English | Construction of the value function and optimal rules in optimal stopping of one-dimensional diffusions |
scientific article; zbMATH DE number 5717822 |
Statements
Construction of the Value Function and Optimal Rules in Optimal Stopping of One-Dimensional Diffusions (English)
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7 June 2010
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optimal stopping
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linear programming
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duality
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nonlinear optimization
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value function
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one-dimensional diffusion
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0.8674644231796265
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0.8641998171806335
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0.8601735830307007
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0.8472200036048889
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