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Miclo, Laurent
and Villeneuve, Stéphane
(2021)
On the forward algorithm for stopping problems on continuous-time Markov chains.
Journal of Applied Probability, vol. 58 (n° 4).
pp. 1043-1063.
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Official URL : http://tse-fr.eu/pub/125318
Identification Number : 10.1017/jpr.2021.11
Abstract
We revisit the forward algorithm, developed by Irle, to characterize both the value function and the stopping set for a large class of optimal stopping problems on continuous-time Markov chains. Our objective is to renew interest in this constructive method by showing its usefulness in solving some constrained optimal stopping problems that have emerged recently.
| Item Type: | Article |
|---|---|
| Language: | English |
| Date: | December 2021 |
| Refereed: | Yes |
| Place of Publication: | Sheffield, England |
| Uncontrolled Keywords: | Markov chains, Optimal Stopping, American option pricing |
| Subjects: | B- ECONOMIE ET FINANCE |
| Divisions: | Institut de mathématiques de Toulouse, TSE-R (Toulouse) |
| Site: | UT1 |
| Date Deposited: | 25 Mar 2021 11:03 |
| Last Modified: | 22 Mar 2022 10:37 |
| OAI Identifier: | oai:tse-fr.eu:125318 |
| URI: | https://publications.ut-capitole.fr/id/eprint/42691 |
