Study of undiscounted non-linear optimal multiple stopping problems on unbounded intervals

DOI10.1504/IJMOR.2013.052462zbMath1390.60157OpenAlexW2066755213MaRDI QIDQ1753786

Faouzi Trabelsi

Publication date: 29 May 2018

Published in: International Journal of Mathematics in Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1504/ijmor.2013.052462

zbMATH Keywords

optimal multiple stoppingexcessive functionsfixed strike random monitoring Asian putnonlinear multiple stoppingperpetual American-style optionsregular linear diffusion

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40)

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