On the forward algorithm for stopping problems on continuous-time Markov chains

DOI10.1017/JPR.2021.11MaRDI QIDQ5014307zbMATH OpenOpenAlexFDO

Authors 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

zbMATH Keywords

forward algorithmMarkov chainsconstrained optimal stopping

Mathematics Subject Classification ID

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)

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Cites work

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• On some optimal stopping problems with constraint
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• Optimal stopping and perpetual options for Lévy processes
• Optimal stopping with information constraint
• Optimal stopping with random intervention times
• Sequential Tests of Statistical Hypotheses
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• The elimination algorithm for the problem of optimal stopping
• The pricing of the American option

Cited in

(6)

• 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)
• Optimal stopping in infinite horizon: an eigenfunction expansion approach
• Solution of optimal stopping problem based on a modification of payoff function

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