A general approximation method for optimal stopping and random delay

Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80) Applications of continuous-time Markov processes on discrete state spaces (60J28)

Cites Work

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A Jump-Diffusion Model for Option Pricing
On the optimal stopping of a one-dimensional diffusion
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Optimal stopping time problem for random walks with polynomial reward functions
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Matrix Analysis
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One-sided solutions for optimal stopping problems with logconcave reward functions
A Forward Algorithm for Solving Optimal Stopping Problems
OPTIMAL STOPPING WITH DELAYED INFORMATION
The impact of delivery lags on irreversible investment under uncertainty
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