Optimal Stopping and Gittins' Indices for Piecewise DeterministicEvolution Processes
Discrete Event Dynamic Systems
Primal and Dual Pricing of Multiple Exercise Options in Continuous Time
SIAM Journal on Financial Mathematics
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From the Publisher:Presents a unified mathematical theory of optimal stopping and sequential control of stochastic processes along with several applications including sequential statistical tests involving several populations and multi-armed bandit problems. The material is accompanied by extensive problems, exercises and realistic examples which facilitate understanding. Contains a large amount of original information unavailable elsewhere.