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Duality for Multiple Stopping

In: Advanced Simulation-Based Methods for Optimal Stopping and Control

Author

Listed:
  • Denis Belomestny

    (Universität Duisburg-Essen)

  • John Schoenmakers

    (The Weierstrass Institute)

Abstract

In this chapter we will generalize the dual methodology presented in the previous chapter to the so called multiple stopping problems. The presentation is based on [34, 102], where also further details can be found.

Suggested Citation

  • Denis Belomestny & John Schoenmakers, 2018. "Duality for Multiple Stopping," Palgrave Macmillan Books, in: Advanced Simulation-Based Methods for Optimal Stopping and Control, chapter 0, pages 177-187, Palgrave Macmillan.
    • Handle: RePEc:pal:palchp:978-1-137-03351-2_10
    DOI: 10.1057/978-1-137-03351-2_10
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