A limited-feedback approximation scheme for optimal switching problems with execution delays
DOI10.1007/S00186-017-0620-2zbMath1395.93579arXiv1605.00606OpenAlexW2964311229WikidataQ59612063 ScholiaQ59612063MaRDI QIDQ1650845
Publication date: 13 July 2018
Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1605.00606
stopping timereal optionsimpulse controlnumerical algorithmoptimal switchingSnell envelopeexecution delaydelivery lag
Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80)
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Cites Work
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