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math.PR2021
Flexible forward improvement iteration for infinite time horizon Markovian optimal stopping problems
Sören Christensen, Albrecht Irle, Julian Peter Lemburg
In this paper, we propose an extension of the forward improvement iteration algorithm, originally introduced in Irle (2006) and recently reconsidered in Miclo and Villeneuve (2021)…
math.PR2021
A new integral equation for Brownian stopping problems with finite time horizon
Sören Christensen, Simon Fischer
For classical finite time horizon stopping problems driven by a Brownian motion \[V(t,x) = \sup_{t\leqτ\leq0}E_{(t,x)}[g(τ,W_τ)],\] we derive a new class of Fredholm type integral…