Optimal Stopping with a Horizon Constraint

DOI10.1287/MOOR.5.1.126MaRDI QIDQ3875735zbMATH OpenOpenAlexFDO

Authors David C. Nachman

Publication date 1980

Published in Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/moor.5.1.126

zbMATH Keywords

constrained stopping problemdualityhorizon constraintLagrangean analysisoptimal multiplieroptimal stoppingoptimality conditionsprobabilistic programmingsaddlepoints of the Lagrangean functionstochastic constraintstrong duality theorems

Mathematics Subject Classification ID

Dynamic programming (90C39) Markov and semi-Markov decision processes (90C40) Minimax problems in mathematical programming (90C47)

Cited in

(2)

• Lagrangean Methods and Optimal Stopping
• Bounds for a constrained optimal stopping problem

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