Discrete-type approximations for non-Markovian optimal stopping problems: Part I
DOI10.1017/jpr.2019.57zbMath1427.60069arXiv1707.05234OpenAlexW2999788898WikidataQ126592179 ScholiaQ126592179MaRDI QIDQ5205938
Alberto Ohashi, Francesco Russo, Dorival Leão
Publication date: 17 December 2019
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1707.05234
Numerical methods (including Monte Carlo methods) (91G60) Fractional processes, including fractional Brownian motion (60G22) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)
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Cites Work
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