New class of optimal multiple stopping times problems

DOI10.1504/IJOR.2022.121494MaRDI QIDQ6887667zbMATH OpenFDO

Authors Noureddine Jilani Ben Naouara, Faouzi Trabelsi

Publication date 9 December 2025

Published in International Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1504/IJOR.2022.121494

zbMATH Keywords

\(\beta\)-excessive functionsCOVID-19 pandemicdiffusion processdiscounted factordynamic programmingMarkov processoptimal multiple stoppingSnell envelopeswing option

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

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