The solution of some discretionary stopping problems:

DOI10.1093/IMAMCI/DNV060zbMath1417.93336DBLPjournals/imamci/Johnson17OpenAlexW3124038650WikidataQ58060564 ScholiaQ58060564MaRDI QIDQ4966973

Timothy C. Johnson

Publication date: 2 July 2019

Published in: IMA Journal of Mathematical Control and Information (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/imamci/dnv060

zbMATH Keywords

dynamic programmingoptimal stoppingstochastic controlfinance

Mathematics Subject Classification ID

Dynamic programming (90C39) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

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