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Advanced Simulation-Based Methods for Optimal Stopping and Control pp 161–175Cite as

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Duality for Optimal Stopping

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Abstract

In this chapter we discuss basic concepts of duality for discrete time optimal stopping problems. In particular additive and multiplicative dual representations are given and their stability is discussed.

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Notes

  1. 1.

    Note that N is not assumed to be predictable.

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Authors and Affiliations

  1. Fachbereich Mathematik, Universität Duisburg-Essen, Moscow, Russia

    Denis Belomestny

  2. The Weierstrass Institute, Berlin, Germany

    John Schoenmakers

Authors
  1. Denis Belomestny
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  2. John Schoenmakers
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Correspondence to Denis Belomestny .

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© 2018 The Author(s)

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Cite this chapter

Belomestny, D., Schoenmakers, J. (2018). Duality for Optimal Stopping. In: Advanced Simulation-Based Methods for Optimal Stopping and Control. Palgrave Macmillan, London. https://doi.org/10.1057/978-1-137-03351-2_9

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  • DOI: https://doi.org/10.1057/978-1-137-03351-2_9

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  • Publisher Name: Palgrave Macmillan, London

  • Print ISBN: 978-1-137-03350-5

  • Online ISBN: 978-1-137-03351-2

  • eBook Packages: Economics and FinanceEconomics and Finance (R0)

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