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https://ah.lib.nccu.edu.tw/handle/140.119/47291| 題名: | Corrected random walk approximations to free boundary problems in optimal stopping | 作者: | Lai, Tze-Leung;姚怡慶; Farid Aitsahlia Lai, Tze-Leung;Yao, Yi-Ching; Farid Aitsahlia |
關鍵詞: | Optimal stoppin;free boundary partial differential equation;random walk;renewal theory;singular stochastic control | 日期: | Sep-2007 | 上傳時間: | 19-Oct-2010 | 摘要: | Corrected random walk approximations to continuous-time optimal stopping boundaries for Brownian motion, first introduced by Chernoff and Petkau, have provided powerful computational tools in option pricing and sequential analysis. This paper develops the theory of these second-order approximations and describes some new applications. | 關聯: | Advances in Applied Probability, 39(3), 753-775 | 資料類型: | article |
| Appears in Collections: | 期刊論文 |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| 753775.pdf | 3.81 MB | Adobe PDF2 | View/Open |
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