Optimal multiple stopping time problem

DOI10.1214/10-AAP727zbMath1235.60040arXiv0910.2788OpenAlexW3104364508MaRDI QIDQ640060

Elisabeth Rouy-Mironescu, Magdalena Kobylanski, Marie-Claire Quenez

Publication date: 12 October 2011

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0910.2788

zbMATH Keywords

optimal stoppingAmerican optionsswing optionsoptimal multiple stopping aggregation

Mathematics Subject Classification ID

Set-valued set functions and measures; integration of set-valued functions; measurable selections (28B20) Stopping times; optimal stopping problems; gambling theory (60G40) General theory of stochastic processes (60G07) Financial applications of other theories (91G80) Optimal stopping in statistics (62L15)

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Cites Work

• Optimal double stopping time problem
• Optimal Multiple Stopping of Linear Diffusions
• OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS
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