An algorithm for construction of optimal timing solutions in problems with a stochastic payoff function
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Publication:2518637
DOI10.1016/j.amc.2008.05.127zbMath1153.91534OpenAlexW1989179106MaRDI QIDQ2518637
Andrey A. Krasovskii, Alexander Tarasyev
Publication date: 16 January 2009
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.amc.2008.05.127
Optimality conditions for problems involving partial differential equations (49K20) Stochastic models in economics (91B70) Stopping times; optimal stopping problems; gambling theory (60G40)
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