Optimal Stopping with a Horizon Constraint
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Publication:3875735
DOI10.1287/moor.5.1.126zbMath0435.90106OpenAlexW2013265031MaRDI QIDQ3875735
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
optimal stoppingoptimality conditionsdualityprobabilistic programmingstrong duality theoremsoptimal multiplierstochastic constraintconstrained stopping problemhorizon constraintLagrangean analysissaddlepoints of the Lagrangean function
Minimax problems in mathematical programming (90C47) Dynamic programming (90C39) Markov and semi-Markov decision processes (90C40)
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