Standard

Stochastic mesh method for optimal stopping problems. / Kashtanov, Yuri.

In: Monte Carlo Methods and Applications, Vol. 23, No. 2, 01.06.2017, p. 121-129.

Research output: Contribution to journal › Article › peer-review

Harvard

Kashtanov, Y 2017, 'Stochastic mesh method for optimal stopping problems', Monte Carlo Methods and Applications, vol. 23, no. 2, pp. 121-129. https://doi.org/10.1515/mcma-2017-0107

APA

Kashtanov, Y. (2017). Stochastic mesh method for optimal stopping problems. Monte Carlo Methods and Applications, 23(2), 121-129. https://doi.org/10.1515/mcma-2017-0107

Vancouver

Kashtanov Y. Stochastic mesh method for optimal stopping problems. Monte Carlo Methods and Applications. 2017 Jun 1;23(2):121-129. https://doi.org/10.1515/mcma-2017-0107

Author

Kashtanov, Yuri. / Stochastic mesh method for optimal stopping problems. In: Monte Carlo Methods and Applications. 2017 ; Vol. 23, No. 2. pp. 121-129.

BibTeX

@article{b976e323a37f4901943cef588d6162ea,
title = "Stochastic mesh method for optimal stopping problems",
abstract = "A Monte Carlo method for solving the multi-dimensional optimal stopping problem is considered. Consistent estimators for a general jump-diffusion are pointed out. It is shown that the variance of estimators is inverse proportional to the number of points in each layer of the mesh.",
keywords = "Optimal stopping, Stochastic mesh",
author = "Yuri Kashtanov",
year = "2017",
month = jun,
day = "1",
doi = "10.1515/mcma-2017-0107",
language = "English",
volume = "23",
pages = "121--129",
journal = "Monte Carlo Methods and Applications",
issn = "0929-9629",
publisher = "De Gruyter",
number = "2",

}

RIS

TY - JOUR

T1 - Stochastic mesh method for optimal stopping problems

AU - Kashtanov, Yuri

PY - 2017/6/1

Y1 - 2017/6/1

N2 - A Monte Carlo method for solving the multi-dimensional optimal stopping problem is considered. Consistent estimators for a general jump-diffusion are pointed out. It is shown that the variance of estimators is inverse proportional to the number of points in each layer of the mesh.

AB - A Monte Carlo method for solving the multi-dimensional optimal stopping problem is considered. Consistent estimators for a general jump-diffusion are pointed out. It is shown that the variance of estimators is inverse proportional to the number of points in each layer of the mesh.

KW - Optimal stopping

KW - Stochastic mesh

UR - http://www.scopus.com/inward/record.url?scp=85020379274&partnerID=8YFLogxK

U2 - 10.1515/mcma-2017-0107

DO - 10.1515/mcma-2017-0107

M3 - Article

AN - SCOPUS:85020379274

VL - 23

SP - 121

EP - 129

JO - Monte Carlo Methods and Applications

JF - Monte Carlo Methods and Applications

SN - 0929-9629

IS - 2

ER -

ID: 50873067