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Convergence Of A Numerical Scheme For Optimal Stopping Of A Diffusion Over A Finite Time-Horizon<\/h1>\nConvergence Of A Numerical Scheme For Optimal Stopping Of A Diffusion Over A Finite Time-Horizon<\/h1>\nMr. Steffen Domke This dissertation establishes an approximation scheme for finite time-horizon To obtain a numerical solution, the infinite-dimensional LP is converted Advisor: Committee Members: Convergence Of A Numerical Scheme For Optimal Stopping Of A Diffusion Over A Finite Time-Horizon Mr. Steffen Domke Graduate Student University of Wisconsin-Milwaukee This dissertation establishes an approximation scheme for finite time-horizon stopping problems involving a singular stochastic process on …<\/p>\n","protected":false},"author":4217,"featured_media":0,"template":"","meta":{"_acf_changed":false,"_tribe_events_status":"","_tribe_events_status_reason":"","_tribe_events_is_hybrid":"","_tribe_events_is_virtual":"","_tribe_events_virtual_video_source":"","_tribe_events_virtual_embed_video":"","_tribe_events_virtual_linked_button_text":"","_tribe_events_virtual_linked_button":"","_tribe_events_virtual_show_embed_at":"","_tribe_events_virtual_show_embed_to":[],"_tribe_events_virtual_show_on_event":"","_tribe_events_virtual_show_on_views":"","_tribe_events_virtual_url":"","footnotes":"","uwm_wg_additional_authors":[]},"tags":[],"tribe_events_cat":[64],"class_list":["post-15034","tribe_events","type-tribe_events","status-publish","hentry","tribe_events_cat-graduate-student-defenses","cat_graduate-student-defenses"],"yoast_head":"\n
\nGraduate Student<\/em>
\nUniversity of Wisconsin-Milwaukee<\/p>\n
\nstopping problems involving a singular stochastic process on a compact state
\nspace, characterized by a singular martingale problem. The stopping problem
\nis converted to a linear program (LP) with infinitely many constraints and
\nvariables having infinite degrees of freedom.<\/p>\n
\ninto a finite LP. The original LP is approximated by a sequence of finite LPs,
\nlimiting to both a finite set of constraints and a finite-dimensional solution
\nspace. The value of an optimal approximate solution is shown to be arbitrarily
\nclose to the optimal value of original LP, and hence of the stopping probem,
\nwith increasing refinement of the approximation. Feasibility of the approximate
\nsolutions is guaranteed due weak convergence of measures, but only in the limit.
\nThe problem of pricing an American floating strike lookback call option can be
\nreformulated to fit the models covered by this dissertation. The price and the
\nstopping boundary can therefore be approximated using this scheme.<\/p>\n
\nRichard Stockbridge<\/p>\n
\nDavid Spade, Lei Wang, Jeb Willenbring, and Chao Zhu<\/p>\n","protected":false},"excerpt":{"rendered":"