Optimal Stopping and Early Exercise: An Eigenfunction Expansion Approach.

Lingfei Li Vadim Linetsky

Published in: Oper. Res. (2013)

Keyphrases

optimal stopping
finite horizon
brownian motion
diffusion process
markov decision processes
optimal policy
differential equations
machine learning
optimal control
infinite horizon
average cost
stochastic processes
markov decision process
stochastic process
poisson process