The Annals of Statistics, Vol. 4, No. 6 (Nov., 1976), pp. 1219-1235 (17 pages) The paper deals with continuous time Markov decision processes on a fairly general state space. The rewards are ...
This paper is concerned with the solution of the optimal stopping problem associated to the value of American options driven by continuous-time Markov chains. The valuefunction of an American option ...
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