Approximation of Optimal Stopping Problems and Variational Inequalities Involving Multiple Scales in Economics and Finance

DOI10.1007/978-3-319-32543-9_16zbMath1407.91095OpenAlexW2494454644MaRDI QIDQ4606781

Andrianos E. Tsekrekos, Athanasios N. Yannacopoulos

Publication date: 9 March 2018

Published in: Trends in Mathematical Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-32543-9_16

zbMATH Keywords

variational inequalitiesoptimal stopping problemseconomic decision-makingmulti-scale volatility

Mathematics Subject Classification ID

Decision theory (91B06) Variational inequalities (49J40) Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80)

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