Maturity randomization for stochastic control problems
نویسندگان
چکیده
منابع مشابه
Maturity randomization for stochastic control problems
We study a maturity randomization technique for approximating optimal control problems. The algorithm is based on a sequence of control problems with random terminal horizon which converges to the original one. This is a generalization of the so-called Canadization procedure suggested by P. Carr in [2] for the fast computation of American put option prices. In addition to the original applicati...
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ژورنال
عنوان ژورنال: The Annals of Applied Probability
سال: 2005
ISSN: 1050-5164
DOI: 10.1214/105051605000000593