Generalization on optimal multiple stopping with application to swing options with random exercise rights number
DOI10.3934/mcrf.2015.5.807zbMath1332.93380OpenAlexW2525912174MaRDI QIDQ256313
Noureddine Jilani Ben Naouara, Faouzi Trabelsi
Publication date: 9 March 2016
Published in: Mathematical Control and Related Fields (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/mcrf.2015.5.807
dynamic programmingoptimal stoppingdiffusion processhitting timesstopping timesoptimal multiple stoppingstrong optimal stopping times strategyswing option
Sums of independent random variables; random walks (60G50) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Optimality conditions for problems involving randomness (49K45) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Existence of optimal solutions to problems involving randomness (49J55)
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