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Approximation by quantization of the filter process and applications to optimal stopping problems under partial observation.

Huyên PhamWolfgang J. RunggaldierAfef Sellami
Published in: Monte Carlo Methods Appl. (2005)
Keyphrases
  • optimal stopping
  • brownian motion
  • closed form
  • np hard
  • probability distribution
  • linear programming
  • poisson process