A Direct Approach to the Solution of Optimal Multiple-Stopping Problems

DOI10.1007/978-0-8176-8337-5_17MaRDI QIDQ4593614zbMATH OpenOpenAlexFDO

Authors Richard H. Stockbridge, Chao Zhu

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_17

Mathematics Subject Classification ID

Diffusion processes (60J60) Environmental economics (natural resource models, harvesting, pollution, etc.) (91B76) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15) Microeconomic theory (price theory and economic markets) (91B24)

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Cites work

• scientific article; zbMATH DE number 1817636 (Why is no real title available?)
• scientific article; zbMATH DE number 3951715 (Why is no real title available?)
• A dual approach to multiple exercise option problems under constraints
• Analysis of production decisions under budget limitations
• Construction of the value function and optimal rules in optimal stopping of one-dimensional diffusions
• Linear programming approximations for Markov control processes in metric spaces
• OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS
• OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS IN LÉVY MODELS
• Optimal Sequential Procedures when More Than one Stop is Required
• Optimal multiple stopping models of reload options and shout options
• Optimal multiple stopping of linear diffusions
• Optimal multiple stopping time problem
• Thinning and harvesting in stochastic forest models

Cited in

(3)

• Resolvent-techniques for multiple exercise problems
• Solving the bilateral group selection problem using optimal stopping options
• scientific article; zbMATH DE number 5597325 (Why is no real title available?)

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