Study of undiscounted non-linear optimal multiple stopping problems on unbounded intervals

DOI10.1504/IJMOR.2013.052462MaRDI QIDQ1753786zbMATH OpenOpenAlexFDO

Authors Faouzi Trabelsi

Publication date 29 May 2018

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

Full work available at URL https://doi.org/10.1504/ijmor.2013.052462

zbMATH Keywords

optimal multiple stoppingexcessive functionsfixed strike random monitoring Asian putnonlinear multiple stoppingperpetual American-style optionsregular linear diffusion

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40)

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(5)

• Deep combinatorial optimisation for optimal stopping time problems: application to swing options pricing.
• On undiscounted non-linear optimal multiple stopping
• Primal and Dual Pricing of Multiple Exercise Options in Continuous Time
• Generalization on optimal multiple stopping with application to swing options with random exercise rights number
• General undiscounted nonlinear optimal multiple stopping of linear diffusions with boundary classification

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