Linear Programming Formulation for Optimal Stopping Problems

DOI10.1137/S0363012900377663MaRDI QIDQ4537820zbMATH OpenWikidataFDO

Authors Moon Jung Cho, Richard H. Stockbridge

Publication date 23 June 2002

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/S0363012900377663

zbMATH Keywords

linear programminggeneratoroccupation measuresoptimal stopping problemMarkov chain approximationnumerical accuracy

Mathematics Subject Classification ID

Linear programming (90C05) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stochastic control (93E20)

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