On undiscounted non-linear optimal multiple stopping

DOI10.1504/IJOR.2012.047512zbMath1362.91041OpenAlexW2079284751MaRDI QIDQ2627307

Mootassam Belleh Zoghlami, Faouzi Trabelsi

Publication date: 31 May 2017

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

Full work available at URL: https://doi.org/10.1504/ijor.2012.047512

zbMATH Keywords

diffusion processexcessive functionsMarkovian processregular diffusionperpetual American-style discretely monitored Asian optionsundiscounted nonlinear optimal multiple stoppingvector-valued approach

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20)

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