Corrected random walk approximations to free boundary problems in optimal stopping

Title	Corrected random walk approximations to free boundary problems in optimal stopping
Creator	Lai, Tze-Leung;姚怡慶; Farid Aitsahlia Lai, Tze-Leung;Yao, Yi-Ching; Farid Aitsahlia
Key Words	Optimal stoppin;free boundary partial differential equation;random walk;renewal theory;singular stochastic control
Date	2007-09
Date Issued	19-Oct-2010 22:57:54 (UTC+8)
Summary	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.
Relation	Advances in Applied Probability, 39(3), 753-775
Type	article

dc.creator (作者)	Lai, Tze-Leung;姚怡慶; Farid Aitsahlia	en
dc.creator (作者)	Lai, Tze-Leung;Yao, Yi-Ching; Farid Aitsahlia	-
dc.date (日期)	2007-09	-
dc.date.accessioned	19-Oct-2010 22:57:54 (UTC+8)	-
dc.date.available	19-Oct-2010 22:57:54 (UTC+8)	-
dc.date.issued (上傳時間)	19-Oct-2010 22:57:54 (UTC+8)	-
dc.identifier.uri (URI)	http://nccur.lib.nccu.edu.tw/handle/140.119/47291	-
dc.description.abstract (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.	-
dc.language	zh_TW	en
dc.language.iso	en_US	-
dc.relation (關聯)	Advances in Applied Probability, 39(3), 753-775	en
dc.subject (關鍵詞)	Optimal stoppin;free boundary partial differential equation;random walk;renewal theory;singular stochastic control	-
dc.title (題名)	Corrected random walk approximations to free boundary problems in optimal stopping	en
dc.type (資料類型)	article	en