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

Author(s)
Tsitsiklis, John N.; Van Roy, Benjamin.; Massachusetts Institute of Technology. Laboratory for Information and Decision Systems.
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Description
Includes bibliographical references (p. 29-30).
Date issued
1997
URI
http://hdl.handle.net/1721.1/3454
Publisher
Massachusetts Institute of Technology, Laboratory for Information and Decision Systems
Series/Report no.
LIDS-P ; 2389
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