Solution of Optimal Stopping Problem Based on a Modification of Payoff Function

DOI10.1007/978-3-319-02069-3_23zbMath1402.60048OpenAlexW44506700MaRDI QIDQ4561948

Ernst L. 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

optimal stoppingMarkov processMarkov chainelimination algorithmone-dimensional diffusion

Mathematics Subject Classification ID

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

Related Items (1)

Parallel computing for Markov chains with islands and ports

Cites Work

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• 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
• On the optimal stopping problem for one-dimensional diffusions.
• On Optimal Stopping of Random Sequences Modulated by Markov Chain
• A new approach to the solution of optimal stopping problem in a discrete time
• Applied Probability and Stochastic Processes
• Optimal Stopping of One-Dimensional Diffusions
• Discretionary stopping of one-dimensional Itô diffusions with a staircase reward function

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