Resolvent-techniques for multiple exercise problems
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Publication:2340991
DOI10.1007/s00245-014-9254-4zbMath1356.60066arXiv1309.7210OpenAlexW2020688966MaRDI QIDQ2340991
Sören Christensen, Jukka Lempa
Publication date: 21 April 2015
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1309.7210
diffusion processresolvent operatorLévy processoptimal multiple stoppingstochastic impulse controlstrong Markov processes
Processes with independent increments; Lévy processes (60G51) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60)
Related Items (4)
Optimal Multiple Stopping with Negative Discount Rate and Random Refraction Times under Lévy Models ⋮ AN ANALYTIC RECURSIVE METHOD FOR OPTIMAL MULTIPLE STOPPING: CANADIZATION AND PHASE-TYPE FITTING ⋮ Optimal stopping and impulse control in the presence of an anticipated regime switch ⋮ SWING OPTION PRICING BY DYNAMIC PROGRAMMING WITH B-SPLINE DENSITY PROJECTION
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