Optimal Multiple Stopping of Linear Diffusions
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Publication:3168975
DOI10.1287/moor.1070.0301zbMath1221.60061MaRDI QIDQ3168975
Savas Dayanik, René A. Carmona
Publication date: 27 April 2011
Published in: Mathematics of Operations Research (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/f6466cc492ed828dd3ff067a1e2181d6bb029f82
60G40: Stopping times; optimal stopping problems; gambling theory
60J60: Diffusion processes
91G20: Derivative securities (option pricing, hedging, etc.)
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