Browsing SAM - Handelshøyskolen by Subject "Lévy process"
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Resolvent-techniques for multiple exercise problems
(Applied Mathematics & Optimization;71(1), Journal article; Peer reviewed, 2014-05-21)Abstract. 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 ...