On Minimax Duality in Optimal Stopping

DOI10.1080/07474946.2010.487445zbMath1319.60085OpenAlexW2012811971MaRDI QIDQ4931852

Hans Rudolf Lerche, Mikhail A. Urusov

Publication date: 1 October 2010

Published in: Sequential Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474946.2010.487445

zbMATH Keywords

optimal stoppingSnell envelopeJamshidian's multiplicative minimax dualitymartingale approach of Beibel and Lerche

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)

Cites Work

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• The Russian option: Reduced regret
• TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON‐NESTED MONTE CARLO
• Pricing American Options: A Duality Approach
• An optimal property of the repeated significance test
• Upper Bounds for Bermudan Style Derivatives
• Monte Carlo valuation of American options
• On Optimum Methods in Quickest Detection Problems

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