Linear programming approach to the optimal stopping of singular stochastic processes

Stochastics

Volumn 79, Issue 3-4, 2007, Pages 309-335

  Helmes, K ^a   Stockbridge, R H ^b  

^a HUMBOLDT UNIVERSITY   (Germany)

^b UNIVERSITY OF WISCONSIN MILWAUKEE   (United States)

Author keywords

Linear programming; Lookback option; Martingale problem; Optimal stopping; Regime switching; Singular processes

Indexed keywords

EID: 34248192873     PISSN: 17442508     EISSN: 17442516     Source Type: Journal    
DOI: 10.1080/17442500600976814     Document Type: Conference Paper

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