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.
Optimal stopping with nonlinear expectation: geometric and algorithmic solutions.The Annals of Applied Probability, 35(5):3310–3333
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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.