Introduces branched harmonic majorants arranged in a depth-indexed branching structure to identify the optimal stopping region and recover the value function as expected gain at exit from the non-contact set, with truncation providing explicit approximations.
On optimal stopping of multidimensional diffusions.Stochastic Pro- cesses and their Applications, 129(7):2561–2581
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Branched harmonic majorants: representations for multidimensional optimal stopping
Introduces branched harmonic majorants arranged in a depth-indexed branching structure to identify the optimal stopping region and recover the value function as expected gain at exit from the non-contact set, with truncation providing explicit approximations.