On undiscounted non-linear optimal multiple stopping
by Faouzi Trabelsi; Mootassam Belleh Zoghlami
International Journal of Operational Research (IJOR), Vol. 14, No. 4, 2012

Abstract: We study and formulate an undiscounted non-linear optimal multiple stopping problem, with an application to the valuation of the perpetual American-style discretely monitored Asian options. When the reward process is continuous, we follow a vector-valued approach. Under the right-continuity of this process, the problem can be reduced to a sequence of ordinary optimal stopping problems. In the Markovian case, we characterise the value function of the problem in terms of excessive functions. Finally, in case of a regular diffusion, we provide an optimal sequence of stopping times. The results are illustrated by some examples, where the value function of the problem is given explicitly.

Online publication date: Sun, 11-Jan-2015

The full text of this article is only available to individual subscribers or to users at subscribing institutions.

 
Existing subscribers:
Go to Inderscience Online Journals to access the Full Text of this article.

Pay per view:
If you are not a subscriber and you just want to read the full contents of this article, buy online access here.

Complimentary Subscribers, Editors or Members of the Editorial Board of the International Journal of Operational Research (IJOR):
Login with your Inderscience username and password:

Username:        Password:          Forgotten your password?

Want to subscribe?
A subscription gives you complete access to all articles in the current issue, as well as to all articles in the previous three years (where applicable). See our Orders page to subscribe.

If you still need assistance, please email subs@inderscience.com