On the forward algorithm for stopping problems on continuous-time Markov chains
DOI10.1017/JPR.2021.11zbMATH Open1478.60211OpenAlexW3216437206MaRDI QIDQ5014307FDOQ5014307
Stéphane Villeneuve, Laurent Miclo
Publication date: 1 December 2021
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://www.tse-fr.eu/sites/default/files/TSE/documents/doc/wp/2019/wp_tse_1009.pdf
Recommendations
- A Forward Algorithm for Solving Optimal Stopping Problems
- Value function and optimal rule on the optimal stopping problem for continuous-time Markov processes
- Optimal stopping problem on finite Markov chain
- A new approach to the solution of optimal stopping problem in a discrete time
- Risk-sensitive stopping problems for continuous-time Markov chains
Applications of continuous-time Markov processes on discrete state spaces (60J28) Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Continuous-time Markov processes on discrete state spaces (60J27) Markov and semi-Markov decision processes (90C40) Probabilistic potential theory (60J45)
Cites Work
- Sequential Tests of Statistical Hypotheses
- On the optimal stopping problem for one-dimensional diffusions.
- Title not available (Why is that?)
- A mathematical approach to order book modeling
- Title not available (Why is that?)
- Title not available (Why is that?)
- Optimal stopping with random intervention times
- The pricing of the American option
- Optimal stopping with information constraint
- Modeling growth stocks via birth-death processes
- Iterative construction of the optimal Bermudan stopping time
- Optimal stopping and perpetual options for Lévy processes
- Error estimates for the binomial approximation of American put options
- Applications of Martingale System Theorems
- Construction of the Value Function and Optimal Rules in Optimal Stopping of One-Dimensional Diffusions
- A Forward Algorithm for Solving Optimal Stopping Problems
- The elimination algorithm for the problem of optimal stopping
- American Option Valuation under Continuous-Time Markov Chains
- Explicit solutions in one-sided optimal stopping problems for one-dimensional diffusions
- A METHOD FOR PRICING AMERICAN OPTIONS USING SEMI‐INFINITE LINEAR PROGRAMMING
- On some optimal stopping problems with constraint
- The Valuation of American Options with Stochastic Stopping Time Constraints
Cited In (4)
- Forward Recursion for Markov Decision Processes with Skip-Free-to-the-Right Transitions, Part I: Theory and Algorithm
- A Forward Algorithm for Solving Optimal Stopping Problems
- A general approximation method for optimal stopping and random delay
- Sur l'approximation des réduites. (On the approximation of residues)
This page was built for publication: On the forward algorithm for stopping problems on continuous-time Markov chains
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5014307)
