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1 paper

math.PR2009

Optimal double stopping time

Magdalena Kobylanski, Marie-Claire Quenez, Elisabeth Rouy-Mironescu

We consider the optimal double stopping time problem defined for each stopping time by $v(S)=\esssup\{E[ψ(τ_1, τ_2) | \F_S], τ_1, τ_2 \geq S \}$. Following the optimal one stop…