An algorithm to solve optimal stopping problems for onedimensional diffusions
Considering a real-valued diffusion, a real-valued reward function and a positive discount rate, we provide an algorithm to solve the optimal stopping problem consisting in finding the optimal expected discounted reward and the optimal stopping time at which it is attained. Our approach is based on...
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| Format: | article |
| Language: | English |
| Published: |
2022
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| Online Access: | https://hdl.handle.net/20.500.12008/41079 |
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