Efficient solutions for a class of optimal stopping problems

DOI10.1016/J.ORL.2012.05.005MaRDI QIDQ1758289zbMATH OpenOpenAlexFDO

Authors Steven M. Shechter

Publication date 8 November 2012

Published in Operations Research Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.orl.2012.05.005

zbMATH Keywords

Markov decision processesoptimal stopping problemssolution algorithms

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Stopping times; optimal stopping problems; gambling theory (60G40)

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Cites work

• scientific article; zbMATH DE number 2154249 (Why is no real title available?)
• Determining the Acceptance of Cadaveric Livers Using an Implicit Model of the Waiting List
• Optimal control of diffusion processes with reflection
• The Optimal Time to Initiate HIV Therapy Under Ordered Health States
• The optimal timing of living-donor liver transplantation

Cited in

(13)

• The Optimal Stopping Problem for the Kalman–Bucy Scheme
• scientific article; zbMATH DE number 4115648 (Why is no real title available?)
• Constrained maximum variance stopping for a finite horizon increasing random walk
• A Direct Approach to the Solution of Optimal Multiple-Stopping Problems
• An iterative method for multiple stopping: convergence and stability
• An iterative procedure for solving integral equations related to optimal stopping problems
• scientific article; zbMATH DE number 3995078 (Why is no real title available?)
• Quick solutions for general best choice problems in continuous time
• scientific article; zbMATH DE number 5597325 (Why is no real title available?)
• The solution of some discretionary stopping problems:
• Solving Problems of Optimal Stopping with Linear Costs of Observations
• Solving the bilateral group selection problem using optimal stopping options
• scientific article; zbMATH DE number 1159816 (Why is no real title available?)

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