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Dual Representations For General Multiple Stopping Problems

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  • Christian Bender
  • John Schoenmakers
  • Jianing Zhang

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Suggested Citation

  • Christian Bender & John Schoenmakers & Jianing Zhang, 2015. "Dual Representations For General Multiple Stopping Problems," Mathematical Finance, Wiley Blackwell, vol. 25(2), pages 339-370, April.
    • Handle: RePEc:bla:mathfi:v:25:y:2015:i:2:p:339-370
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    File URL: http://hdl.handle.net/10.1111/mafi.2015.25.issue-2
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    Cited by:

    1. John Ery & Loris Michel, 2021. "Solving optimal stopping problems with Deep Q-Learning," Papers 2101.09682, arXiv.org, revised Jun 2024.
    2. Roger J. A. Laeven & John G. M. Schoenmakers & Nikolaus F. F. Schweizer & Mitja Stadje, 2020. "Robust Multiple Stopping -- A Pathwise Duality Approach," Papers 2006.01802, arXiv.org, revised Sep 2021.
    3. Juri Hinz & Jeremy Yee, 2017. "An Algorithmic Approach to Optimal Asset Liquidation Problems," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 24(2), pages 109-129, June.
    4. Nicolas Essis-Breton & Patrice Gaillardetz, 2020. "Fast Lower and Upper Estimates for the Price of Constrained Multiple Exercise American Options by Single Pass Lookahead Search and Nearest-Neighbor Martingale," Papers 2002.11258, arXiv.org.
    5. Yi Yang & Jianan Wang & Youhua Chen & Zhiyuan Chen & Yanchu Liu, 2020. "Optimal procurement strategies for contractual assembly systems with fluctuating procurement price," Annals of Operations Research, Springer, vol. 291(1), pages 1027-1059, August.

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