Discrete-type approximations for non-Markovian optimal stopping problems: Part I
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DOI: 10.1017/jpr.2019.57
Abstract: Abstract We present a discrete-type approximation scheme to solve continuous-time optimal stopping problems based on fully non-Markovian continuous processes adapted to the Brownian motion filtration. The approximations satisfy suitable variational inequalities which allow us to… read more here.
Keywords: discrete type; non markovian; markovian optimal; optimal stopping ... See more keywords