Dynamic programming for discrete-time finite-horizon optimal switching problems with negative switching costs
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Publication:2830883
DOI10.1017/APR.2016.30zbMath1348.93282arXiv1411.3981OpenAlexW3104183741MaRDI QIDQ2830883
Publication date: 1 November 2016
Published in: Advances in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1411.3981
Applications of statistics to economics (62P20) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40)
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