Generalization on optimal multiple stopping with application to swing options with random exercise rights number

DOI10.3934/mcrf.2015.5.807zbMath1332.93380OpenAlexW2525912174MaRDI QIDQ256313

Noureddine Jilani Ben Naouara, Faouzi Trabelsi

Publication date: 9 March 2016

Published in: Mathematical Control and Related Fields (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/mcrf.2015.5.807

zbMATH Keywords

dynamic programmingoptimal stoppingdiffusion processhitting timesstopping timesoptimal multiple stoppingstrong optimal stopping times strategyswing option

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Optimality conditions for problems involving randomness (49K45) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Existence of optimal solutions to problems involving randomness (49J55)

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Generalization on optimal multiple stopping with application to swing options with random exercise rights number

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