Duality for Multiple Stopping

Denis Belomestny () and John Schoenmakers
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Denis Belomestny: Universität Duisburg-Essen
John Schoenmakers: The Weierstrass Institute

Chapter Chapter 10 in Advanced Simulation-Based Methods for Optimal Stopping and Control, 2018, pp 177-187 from Palgrave Macmillan

Abstract: Abstract In this chapter we will generalize the dual methodology presented in the previous chapter to the so called multiple stopping problems. The presentation is based on [34, 102], where also further details can be found.

Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-1-137-03351-2_10

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DOI: 10.1057/978-1-137-03351-2_10

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