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Optimal Stopping in Lévy Models for Nonmonotone Discontinuous Payoffs.

Svetlana BoyarchenkoSergei Levendorskii
Published in: SIAM J. Control. Optim. (2011)
Keyphrases
  • optimal stopping
  • probabilistic model
  • brownian motion
  • denoising
  • random variables
  • autoregressive