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An iteration procedure for solving integral equations related to optimal stopping problems

Belomestny, Denis and Gapeev, Pavel V. (2006) An iteration procedure for solving integral equations related to optimal stopping problems. SFB 649 discussion paper, 2006-043, UT ISI:000282589000002 . Humboldt-Universität zu Berlin, Berlin, Germany. ISBN 1860-5664

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Abstract

A new algorithm for finding value functions of finite horizon optimal stopping problems in one-dimensional di®usion models is presented. It is based on a time discretization of the corresponding integral equation. The proposed iterative procedure for solving the discretized integral equation converges in a finite number of steps and delivers in each step a lower or an upper bound for value of discretized problem on the whole time interval. The remarks on the application of the method for solving integral equations related to some optimal stopping problems are given.

Item Type: Monograph (Discussion Paper)
Official URL: http://sfb649.wiwi.hu-berlin.de
Additional Information: © 2006 The author
Library of Congress subject classification: H Social Sciences > H Social Sciences (General)
H Social Sciences > HA Statistics
Sets: Departments > Mathematics
Rights: http://www.lse.ac.uk/library/usingTheLibrary/academicSupport/OA/depositYourResearch.aspx
Identification Number: 2006-043, UT ISI:000282589000002
Date Deposited: 31 Mar 2010 13:47
URL: http://eprints.lse.ac.uk/27623/

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