Optimal stopping of Markov processes: Hilbert space theory, approximation algorithms, and an application to pricing high-dimensional financial derivatives
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Publication:4506926
DOI10.1109/9.793723zbMath0958.60042OpenAlexW2156168464MaRDI QIDQ4506926
Benjamin van Roy, John N. Tsitsiklis
Publication date: 17 October 2000
Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1109/9.793723
Discrete-time Markov processes on general state spaces (60J05) Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80) Markov and semi-Markov decision processes (90C40)
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