On randomized stopping
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Publication:1002557
DOI10.3150/07-BEJ108zbMath1157.60316arXiv0705.2302OpenAlexW3099332954MaRDI QIDQ1002557
Publication date: 2 March 2009
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0705.2302
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Fine properties of the optimal Skorokhod embedding problem ⋮ Optimal Stopping, Randomized Stopping, and Singular Control with General Information Flow ⋮ On finite-difference approximations for normalized Bellman equations ⋮ Randomized Optimal Stopping Algorithms and Their Convergence Analysis ⋮ Pricing American options by exercise rate optimization ⋮ On the Compensator in the Doob--Meyer Decomposition of the Snell Envelope ⋮ Low-Dimensional Approximations of High-Dimensional Asset Price Models ⋮ Stochastic Control Representations for Penalized Backward Stochastic Differential Equations
Cites Work
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- SOME NEW RESULTS IN THE THEORY OF CONTROLLED DIFFUSION PROCESSES
- On stochastics equations with respect to semimartingales ii. itô formula in banach spaces
- Error Bounds for Monotone Approximation Schemes for Hamilton--Jacobi--Bellman Equations
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