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Duality for Optimal 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 discuss basic concepts of duality for discrete time optimal stopping problems. In particular additive and multiplicative dual representations are given and their stability is discussed.

Suggested Citation

  • Denis Belomestny & John Schoenmakers, 2018. "Duality for Optimal Stopping," Palgrave Macmillan Books, in: Advanced Simulation-Based Methods for Optimal Stopping and Control, chapter 0, pages 161-175, Palgrave Macmillan.
    • Handle: RePEc:pal:palchp:978-1-137-03351-2_9
    DOI: 10.1057/978-1-137-03351-2_9
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