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- W2616703449 abstract "Abstract A Monte Carlo method for solving the multi-dimensional optimal stopping problem is considered. Consistent estimators for a general jump-diffusion are pointed out. It is shown that the variance of estimators is inverse proportional to the number of points in each layer of the mesh." @default.
- W2616703449 created "2017-05-26" @default.
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- W2616703449 date "2017-01-01" @default.
- W2616703449 modified "2023-09-27" @default.
- W2616703449 title "Stochastic mesh method for optimal stopping problems" @default.
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- W2616703449 doi "https://doi.org/10.1515/mcma-2017-0107" @default.
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