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

DOI10.1504/IJMOR.2013.052462zbMATH Open1390.60157OpenAlexW2066755213MaRDI QIDQ1753786FDOQ1753786

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

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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)

Cited In (5)

• 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
• Primal and Dual Pricing of Multiple Exercise Options in Continuous Time
• On undiscounted non-linear optimal multiple stopping
• Deep combinatorial optimisation for optimal stopping time problems: application to swing options pricing.

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