Intensity-based framework and penalty formulation of optimal stopping problems
type: Item
instance of: scholarly article
title: Intensity-based framework and penalty formulation of optimal stopping problems
zbMATH Open document ID: 1163.91389
author: Min Dai
author: Yue Kuen Kwok
author: Hong You
publication date: 2009-07-01T00:00:00Z
full work available at URL: Int Bas.pdf
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 35R60
Mathematics Subject Classification ID: 60G40
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 60H30
zbMATH DE Number: 5573630
zbMATH Keywords: linear complementarity formulation
zbMATH Keywords: mortgage prepayment
zbMATH Keywords: callable feature
zbMATH Keywords: intensity approach
zbMATH Keywords: penalty method
zbMATH Keywords: event risk
MaRDI profile type: Publication
OpenAlex ID: W3124366669
Wikidata QID: Q60148451
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DOI: 10.1016/J.JEDC.2007.01.016
published in: Journal of Economic Dynamics and Control
description: scientific article; zbMATH DE number 5573630