Recombining Tree Approximations for Optimal Stopping for Diffusions.
Erhan BayraktarYan DolinskyJia GuoPublished in: SIAM J. Financial Math. (2018)
Keyphrases
- optimal stopping
- brownian motion
- stochastic process
- differential equations
- optimal control
- diffusion process
- poisson process
- vector valued
- closed form solutions
- heavy traffic
- stochastic processes
- queue length
- finite horizon
- closed form
- markov chain
- anisotropic diffusion
- inventory level
- control strategy
- autoregressive
- dynamical systems
- steady state
- regression model