Solution of optimal stopping problem based on a modification of payoff function

DOI10.1007/978-3-319-02069-3_23MaRDI QIDQ4561948zbMATH OpenOpenAlexFDO

Authors Ernst Presman

Publication date 13 December 2018

Published in Inspired by Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-02069-3_23

zbMATH Keywords

Markov chainMarkov processoptimal stoppingelimination algorithmone-dimensional diffusion

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stopping times; optimal stopping problems; gambling theory (60G40)

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Cites work

• scientific article; zbMATH DE number 5016447 (Why is no real title available?)
• scientific article; zbMATH DE number 5066282 (Why is no real title available?)
• scientific article; zbMATH DE number 3340850 (Why is no real title available?)
• A new approach to the solution of optimal stopping problem in a discrete time
• Applied Probability and Stochastic Processes
• Discretionary stopping of one-dimensional Itô diffusions with a staircase reward function
• On optimal stopping of random sequences modulated by Markov chain
• On the optimal stopping problem for one-dimensional diffusions.
• Optimal Stopping of One-Dimensional Diffusions
• The elimination algorithm for the problem of optimal stopping
• The state reduction and related algorithms and their applications to the study of Markov chains, graph theory, and the optimal stopping problem

Cited in

(3)

• A new approach to the solution of optimal stopping problem in a discrete time
• Parallel computing for Markov chains with islands and ports
• Solution of the Optimal Stopping Problem for One-Dimensional Diffusion Based on a Modification of the Payoff Function

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