John G. M. Schoenmakers

Duality for Multiple Stopping

In this chapter we will generalize the dual methodology presented in the previous chapter to the so called multiple stopping problems. The presentation is based on [34, 102], where also further details can be found.

Pricing Bermudan Options via Consumption Processes

In this chapter we present an alternative approach of constructing upper bounds for the values of discrete time optimal stopping problems based on consumption processes.

Dual Methods for General Optimal Control

In this chapter we extend the duality approach to general optimal control problems. The content of this chapter is based on works [35] and [62].

Dual Monte Carlo Algorithms for Optimal Control

In this chapter we discuss several non-nested dual Monte Carlo algorithms for optimal control problems.

Duality for Optimal Stopping

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.

Dual Monte Carlo Algorithms for Optimal Stopping

In this chapter several non-nested dual Monte Carlo algorithms for optimal stopping problem are presented.