Optimal stopping of Markov processes : Hilbert space theory, approximation algorithms, and an application to pricing high-dimensional financial derivatives

Description

John N. Tsitsiklis and Benjamin Van Roy. / Includes bibliographical references (p. 29-30). / Supported by NSF grant. DMI-9625489 Supported by ARO grant. DAAL-03-92-G-0115

Links & Downloads

1. http://hdl.handle.net/1721.1/3454

Tags

TK7855.M41 E3845 no.2389

Additional Fields

Identifer	oai:union.ndltd.org:MIT/oai:dspace.mit.edu:1721.1/3454
Date	January 1997
Contributors	Tsitsiklis, John N., Van Roy, Benjamin., Massachusetts Institute of Technology. Laboratory for Information and Decision Systems.
Publisher	Massachusetts Institute of Technology, Laboratory for Information and Decision Systems
Source Sets	M.I.T. Theses and Dissertation
Language	English
Detected Language	English
Format	30 p., 2316286 bytes, application/pdf
Relation	LIDS-P ; 2389