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Avtomatika i Telemekhanika, 2010, Issue 8, Pages 105–110 (Mi at869)  
This article is cited in 1 scientific paper (total in 1 paper)

Control in Social Economic Systems

On the problem of optimal stopping for the composite Russian option

R. V. Ivanov

Trapeznikov Institute of Control Sciences, Russian Academy of Sciences, Moscow, Russia
Full-text PDF (161 kB) Citations (1)
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Abstract: This work is devoted to the solution of the problem on optimal stopping for the Russian option with the multiple presentation of the option for the execution. The characterization of the solution is presented in the form of the description of domains of the stopping and the extension of observations. The method for solving the problem in the explicit form by induction is considered.
Presented by the member of Editorial Board: A. I. Kibzun

Received: 22.09.2008
English version:
Automation and Remote Control, 2010, Volume 71, Issue 8, Pages 1602–1607
DOI: https://doi.org/10.1134/S0005117910080096
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: R. V. Ivanov, “On the problem of optimal stopping for the composite Russian option”, Avtomat. i Telemekh., 2010, no. 8, 105–110; Autom. Remote Control, 71:8 (2010), 1602–1607
Citation in format AMSBIB
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  • https://www.mathnet.ru/eng/at/y2010/i8/p105
    • This publication is cited in the following 1 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
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    Full-text PDF :47
    References:43
    First page:4
     
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