One-sided solutions for optimal stopping problems with logconcave reward functions
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Publication:5203892
DOI10.1017/APR.2019.4zbMath1427.60070arXiv1710.04339OpenAlexW2964083409WikidataQ127449366 ScholiaQ127449366MaRDI QIDQ5203892
Publication date: 9 December 2019
Published in: Advances in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1710.04339
Brownian motion (60J65) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)
Related Items (2)
A note on one-sided solutions for optimal stopping problems driven by Lévy processes ⋮ A general approximation method for optimal stopping and random delay
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