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A Class of Solvable Optimal Stopping Problems of Spectrally Negative Jump Diffusions.

Luis H. R. AlvarezPekka MatomäkiTeppo A. Rakkolainen
Published in: SIAM J. Control. Optim. (2014)
Keyphrases
  • optimal stopping
  • brownian motion
  • computational complexity
  • np hard
  • machine learning
  • special case
  • markov chain
  • model selection
  • closed form
  • vector valued