Approximation schemes for mixed optimal stopping and control problems with nonlinear expectations and jumps
<p style="text-align:justify;">We propose a class of numerical schemes for mixed optimal stopping and control of processes with infinite activity jumps and where the objective is evaluated by a nonlinear expectation. Exploiting an approximation by switching systems, piecewise consta...
| Главные авторы: | , , |
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| Формат: | Journal article |
| Язык: | English |
| Опубликовано: |
Springer Nature
2019
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