Discrete Time Approximations of Continuous Time Finite Horizon Stopping Problems

DOI10.1007/978-0-8176-8337-5_16zbMath1374.60076OpenAlexW2294404220MaRDI QIDQ4593613

Łukasz Stettner

Publication date: 22 November 2017

Published in: Systems & Control: Foundations & Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-0-8176-8337-5_16

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Stopping times; optimal stopping problems; gambling theory (60G40)

Cites Work

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• Zero-sum Markov games with stopping and impulsive strategies
• Stopping of functionals with discontinuity at the boundary of an open set
• Processus de Markov
• Finite Horizon Optimal Stopping of Time-Discontinuous Functionals with Applications to Impulse Control with Delay
• Penalty Method for Finite Horizon Stopping Problems
• Dual Valuation and Hedging of Bermudan Options
• Pricing American Options: A Duality Approach
• Monte Carlo valuation of American options
• Optimal Stopping of a Markov Process

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