Addendum to An Iterative Method for Multiple Stopping: Convergence and Stability
نویسنده
چکیده
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(i) > i} is X(i) measurable. Precisely, we suppose τ may be represented by
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