Optimal Multiple Stopping with Random Waiting Times

DOI10.1080/07474946.2013.803814zbMath1303.60032arXiv1205.1966OpenAlexW2022139826MaRDI QIDQ2854356

Albrecht Irle, Stephan Jürgens, Sören Christensen

Publication date: 18 October 2013

Published in: Sequential Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1205.1966

zbMATH Keywords

optimal multiple stoppingswing optionsrandom waiting times

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Optimal stopping in statistics (62L15) Portfolio theory (91G10)

Related Items (6)

Optimal Multiple Stopping with Negative Discount Rate and Random Refraction Times under Lévy Models ⋮ On the solution of general impulse control problems using superharmonic functions ⋮ SWING OPTION PRICING BY DYNAMIC PROGRAMMING WITH B-SPLINE DENSITY PROJECTION ⋮ Optimal Stopping for Dynamic Recruitment Problem with Probabilistic Loss of Candidates ⋮ Resolvent-techniques for multiple exercise problems ⋮ Generalization on optimal multiple stopping with application to swing options with random exercise rights number

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• Primal and Dual Pricing of Multiple Exercise Options in Continuous Time
• An iterative method for multiple stopping: convergence and stability
• OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS

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