Recombining Tree Approximations for Optimal Stopping for Diffusions
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Publication:4579835
DOI10.1137/17M1118865zbMath1394.60039arXiv1610.00554OpenAlexW3123560567WikidataQ129868324 ScholiaQ129868324MaRDI QIDQ4579835
Erhan Bayraktar, Yan Dolinsky, Jia Guo
Publication date: 10 August 2018
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1610.00554
Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Optimal stopping in statistics (62L15)
Related Items (3)
Numerical scheme for Dynkin games under model uncertainty ⋮ Strong diffusion approximation in averaging and value computation in Dynkin's games ⋮ Markov cubature rules for polynomial processes
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