Optimal Multiple Stopping of Linear Diffusions-Reference-Cited by-同舟云学术

Optimal Multiple Stopping of Linear Diffusions

Published:2008-05 Issue:2 Volume:33 Page:446-460
ISSN:0364-765X
Container-title:Mathematics of Operations Research
language:en
Short-container-title:Mathematics of OR

Author:

Carmona René,Dayanik Savas

Publisher

Institute for Operations Research and the Management Sciences (INFORMS)

Subject

Management Science and Operations Research,Computer Science Applications,General Mathematics

Link

https://pubsonline.informs.org/doi/pdf/10.1287/moor.1070.0301

Reference31 articles.

1. Optimal harvesting of stochastically fluctuating populations

2. A DIFFUSION MODEL FOR ELECTRICITY PRICES

3. Boetius F. Bounded variation singular stochastic control and associated Dynkin gameTrends in Mathematics(2001) 2000 Workshop of the Mathematical Finance Research ProjectKonstanz, GermanyBasel, SwitzerlandBirkhäuser Verlag111120MR1882823 (2002m:49044)

4. Connections between optimal stopping and singular stochastic control

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