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An Iterative Algorithm for Multiple Stopping: Convergence and Stability

Please always quote using this URN:urn:nbn:de:0296-matheon-1920
  • We present a new iterative procedure for solving the multiple stopping problem in discrete time and discuss the stability of the algorithm. The algorithm produces monotonically increasing approximations of the Snell envelope, which coincide with the Snell envelope after finitely many steps. Contrary to backward dynamic programming, the algorithm allows to calculate approximative solutions with only a few nestings of conditional expectations and is, therefore, tailor-made for a plain Monte-Carlo implementation.

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Metadaten
Author:Christian Bender, John Schoenmakers
URN:urn:nbn:de:0296-matheon-1920
Referee:Anton Bovier
Document Type:Preprint, Research Center Matheon
Language:English
Date of first Publication:2004/12/14
Release Date:2004/12/14
Institute:Weierstraß-Institut für Angewandte Analysis und Stochastik (WIAS)
Preprint Number:183
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