Optimal multiple stopping problem with irregular reward

DOI10.1017/JPR.2025.24MaRDI QIDQ6892527zbMATH OpenFDO

Authors Hanwu Li

Publication date 28 November 2025

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/JPR.2025.24

zbMATH Keywords

irregular rewardoptimal multiple stoppingswing options

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80)

Cites work

• scientific article; zbMATH DE number 5016447 (Why is no real title available?)
• scientific article; zbMATH DE number 3740439 (Why is no real title available?)
• scientific article; zbMATH DE number 1095739 (Why is no real title available?)
• OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS
• OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS IN LÉVY MODELS
• Optimal multiple stopping problem under nonlinear expectation
• Optimal multiple stopping problems under g-expectation
• Optimal multiple stopping time problem
• Optimal stopping time problem in a general framework

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