An iterative method for multiple stopping: convergence and stability

An Iterative Method for Multiple Stopping: Convergence and Stability

We present a new iterative procedure for solving the multiple stopping problem in discrete time and discuss the stability of the algorithm. The algorithm produces monotonically increasing approximations of the Snell envelope, which coincide with the Snell envelope after finitely many steps. Contrary to backward dynamic programming, the algorithm allows to calculate approximative solutions with ...

Addendum to An Iterative Method for Multiple Stopping: Convergence and Stability

In this paper we suggest a numerical implementation based on plain Monte Carlo simulation of the conditional expectations in the following Markovian setting: Suppose (X(i),Fi), 0 ≤ i ≤ k, is a possibly high-dimensional Markov process and the cashflow is of the form Z(i) = f(i,X(i)). Assume a consistent stopping family τ(i) depends on ω only through the path of X and that for each i the event {τ...

AN ITERATIVE METHOD WITH SIX-ORDER CONVERGENCE FOR SOLVING NONLINEAR EQUATIONS

Modification of Newtons method with higher-order convergence is presented. The modification of Newtons method is based on Frontinis three-order method. The new method requires two-step per iteration. Analysis of convergence demonstrates that the order of convergence is 6. Some numerical examples illustrate that the algorithm is more efficient and performs better than classical Newtons method and ...

On the Convergence for an Iterative Method for Quasivariational Inclusions

Convergence of an Iterative Method for Total Variation Denoising

In total variation denoising, one attempts to remove noise from a signal or image by solving a nonlinear minimization problem involving a total variation criterion. Several approaches based on this idea have recently been shown to be very eeective, particularly for denoising functions with discontinuities. This paper analyzes the convergence of an iterative method for solving such problems. The...