A recursive algorithm for selling at the ultimate maximum in regime-switching models

DOI10.1007/s11009-017-9558-3zbMath1387.93188arXiv1702.02232MaRDI QIDQ1703034

Peng Zhang

Publication date: 1 March 2018

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1702.02232

zbMATH Keywords

optimal stopping; recursive approximation; Markovian regime switching; non-monotone free boundary

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

93E20: Optimal stochastic control

60G40: Stopping times; optimal stopping problems; gambling theory

91G80: Financial applications of other theories

35R35: Free boundary problems for PDEs

60J28: Applications of continuous-time Markov processes on discrete state spaces