Geodesic
Some extensions of optimal stopping with financial applications
Ars Mathematica Contemporanea, Tome 16 (2019) no. 2, pp. 465-472.

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Finite horizon optimal stopping problems for Markov chains are a well researched topic. Frequently they are phrased in terms of cost or return because many financial models are based on Markov chains. In this paper we will apply optimal stopping to certain random walks on binary trees motivated by insurance considerations. The results are direct extensions of known results but the implications for insurance are of interest.
DOI : 10.26493/1855-3974.1699.74e
Keywords: Optimal stopping for Markov chains, equity-linked life insurance with guarantees 
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Mihael Perman; Ana Zalokar. Some extensions of optimal stopping with financial applications. Ars Mathematica Contemporanea, Tome 16 (2019) no. 2, pp. 465-472. doi : 10.26493/1855-3974.1699.74e. http://geodesic.mathdoc.fr/articles/10.26493/1855-3974.1699.74e/

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