Numerical method for optimal stopping of hybrid processes-Reference-Cited by-同舟云学术

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Numerical method for optimal stopping of hybrid processes

Published:2009 Issue:17 Volume:42 Page:114-119
ISSN:1474-6670
Container-title:IFAC Proceedings Volumes
language:en
Short-container-title:IFAC Proceedings Volumes

Author:

de Saporta Benoîte,Dufour François,Gonzalez Karen

Publisher

Elsevier BV

Subject

General Medicine

Reference17 articles.

1. A quantization algorithm for solving multi-dimensional discrete-time optimal stopping problems;Bally;Bernoulli,2003

2. A quantization tree method for pricing and hedging multidimensional American options;Bally;Math. Finance,2005

3. Approximations for optimal stopping of a piecewise-deterministic process;Costa;Math. Control Signals Systems,1988

4. Stability and ergodicity of piecewise deterministic Markov processes;Costa;SIAM J. Control Optim.,2008

5. Optimal stopping with continuous control of piecewise deterministic Markov processes;Costa;Stochastics Stochastics Rep.,2000

Cited by 1 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Bibliography;Numerical Methods for Simulation and Optimization of Piecewise Deterministic Markov Processes;2015-12-18

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