Discrete time approximations of continuous time finite horizon stopping problems
From MaRDI portal
Publication:4593613
DOI10.1007/978-0-8176-8337-5_16zbMATH Open1374.60076OpenAlexW2294404220MaRDI QIDQ4593613FDOQ4593613
Authors: Łukasz Stettner 
Publication date: 22 November 2017
Published in: Systems & Control: Foundations & Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-0-8176-8337-5_16
Recommendations
- On general optimal stopping problems using penalty method
- On the convergence from discrete to continuous time in an optimal stopping problem.
- scientific article; zbMATH DE number 1900176
- Discrete-type approximations for non-Markovian optimal stopping problems. I
- On approximative solutions of optimal stopping problems
Continuous-time Markov processes on general state spaces (60J25) Stopping times; optimal stopping problems; gambling theory (60G40)
Cites Work
- Title not available (Why is that?)
- Title not available (Why is that?)
- Monte Carlo valuation of American options
- Dual valuation and hedging of Bermudan options
- Pricing American Options: A Duality Approach
- Title not available (Why is that?)
- Processus de Markov
- Zero-sum Markov games with stopping and impulsive strategies
- Penalty method for finite horizon stopping problems
- Finite horizon optimal stopping of time-discontinuous functionals with applications to impulse control with delay
- Optimal Stopping of a Markov Process
- Stopping of functionals with discontinuity at the boundary of an open set
- Title not available (Why is that?)
Cited In (6)
- On the convergence from discrete to continuous time in an optimal stopping problem.
- Finite difference approximation for stochastic optimal stopping problems with delays
- On general optimal stopping problems using penalty method
- Discontinuous solutions of deterministic optimal stopping time problems
- Penalty method for finite horizon stopping problems
- Discrete-type approximations for non-Markovian optimal stopping problems. I
This page was built for publication: Discrete time approximations of continuous time finite horizon stopping problems
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4593613)
