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Optimal stopping of Markov processes : Hilbert space theory, approximation algorithms, and an application to pricing high-dimensional financial derivatives

dc.contributorTsitsiklis, John N.en_US
dc.contributorVan Roy, Benjamin.en_US
dc.contributorMassachusetts Institute of Technology. Laboratory for Information and Decision Systems.en_US
dc.date.accessioned2003-04-29T15:43:01Z
dc.date.available2003-04-29T15:43:01Z
dc.date.issued1997en_US
dc.identifier.urihttp://hdl.handle.net/1721.1/3454
dc.descriptionIncludes bibliographical references (p. 29-30).en_US
dc.description.sponsorshipSupported by NSF grant. DMI-9625489 Supported by ARO grant. DAAL-03-92-G-0115en_US
dc.description.statementofresponsibilityJohn N. Tsitsiklis and Benjamin Van Roy.en_US
dc.format.extent30 p.en_US
dc.format.extent2316286 bytes
dc.format.mimetypeapplication/pdf
dc.language.isoengen_US
dc.publisherMassachusetts Institute of Technology, Laboratory for Information and Decision Systemsen_US
dc.relation.ispartofseriesLIDS-P ; 2389en_US
dc.subject.lccTK7855.M41 E3845 no.2389en_US
dc.titleOptimal stopping of Markov processes : Hilbert space theory, approximation algorithms, and an application to pricing high-dimensional financial derivativesen_US


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