首页   按字顺浏览 期刊浏览 卷期浏览 On a discretization procedure for the stopping time problem
On a discretization procedure for the stopping time problem

 

作者: Hiroaki Morimoto,  

 

期刊: Stochastics  （Taylor Available online 1984）
卷期: Volume 11, issue 3-4  

页码: 213-236

 

ISSN:0090-9491

 

年代: 1984

 

DOI:10.1080/17442508408833286

 

出版商: Gordon and Breach Science Publishers Inc

 

数据来源: Taylor

 

摘要:

This paper is concerned with the optimal stopping problem. We study the approximation method of the Snell envelope by using the solution of the discretized problem and an interpretation of these processes. A treatment of the problem is given from the point of view of the martingale approach. A part of results is based on the penalty method.

 

点击下载:  PDF (410KB)



返 回