An exactly solvable multiple stochastic optimal stopping problem
Abstract A new kind of multiple stochastic optimal stopping problem is formulated and its associated recursive variational inequalities are derived. We show that these variational inequalities can be solved exactly in a cascading manner. The relevance of the present problem in analyzing animal migra...
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| Format: | Article |
| Language: | English |
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SpringerOpen
2018-05-01
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| Series: | Advances in Difference Equations |
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| Online Access: | http://link.springer.com/article/10.1186/s13662-018-1626-7 |