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dc.contributor.authorChristensen, S.en_US
dc.contributor.authorLempa, Jukkaen_US
dc.date.accessioned2015-03-11T10:14:52Z
dc.date.available2015-03-11T10:14:52Z
dc.date.issued2014-05-21en_US
dc.identifier.citationChristensen, S., & Lempa, J. (2013). Resolvent-techniques for multiple exercise problems. Applied Mathematics & Optimization, 71(1), 1-29.en_US
dc.identifier.issn0095-4616en_US
dc.identifier.otherFRIDAID 1137483en_US
dc.identifier.urihttps://hdl.handle.net/10642/2463
dc.description.abstractAbstract. We study optimal multiple stopping of strong Markov processes with random refraction periods. The refraction periods are assumed to be exponentially distributed with a common rate and independent of the underlying dynamics. Our main tool is using the resolvent operator. In the rst part, we reduce in nite stopping problems to ordinary ones in a general strong Markov setting. This leads to explicit solutions for wide classes of such problems. Starting from this result, we analyze problems with nitely many exercise rights and explain solution methods for some classes of problems with underlying L evy and di usion processes, where the optimal characteristics of the problems can be identified more explicitly. We illustrate the main results with explicit examples.en_US
dc.language.isoengen_US
dc.publisherSpringer USen_US
dc.relation.ispartofseriesApplied Mathematics & Optimization;71(1)en_US
dc.subjectOptimal multiple stoppingen_US
dc.subjectStochastic impulse controlen_US
dc.subjectLévy processen_US
dc.subjectDiffusion processen_US
dc.subjectVDP::Matematikk og Naturvitenskap: 400::Matematikk: 410::Anvendt matematikk: 413en_US
dc.subjectVDP::Teknologi: 500en_US
dc.titleResolvent-techniques for multiple exercise problemsen_US
dc.typeJournal articleen_US
dc.typePeer revieweden_US
dc.description.versionThis is a postprint version of a published article. The original publication is available at www.springerlink.com
dc.identifier.doihttp://dx.doi.org/10.1007/s00245-014-9254-4


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