Duality for Optimal Stopping

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

Chapter Chapter 9 in Advanced Simulation-Based Methods for Optimal Stopping and Control, 2018, pp 161-175 from Palgrave Macmillan

Abstract: Abstract In this chapter we discuss basic concepts of duality for discrete time optimal stopping problems. In particular additive and multiplicative dual representations are given and their stability is discussed.

Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-1-137-03351-2_9

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DOI: 10.1057/978-1-137-03351-2_9

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