Solving optimal stopping problems of linear diffusions by applying convolution approximations

Mathematical Methods of Operations Research

Volumn 53, Issue 1, 2001, Pages 89-99

  Alvarez, Luis H R ^a,b  

^a UNIVERSITY OF TURKU   (Finland)

^b UNIVERSITY OF TURKU   (Finland)

Author keywords

Convolution approximation; Exponential distribution; Linear diffusions; Optimal stopping

Indexed keywords

EID: 0034991528     PISSN: 14322994     EISSN: None     Source Type: Journal    
DOI: 10.1007/s001860000098     Document Type: Article

References (8)

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