A Forward Algorithm for Solving Optimal Stopping Problems

DOI10.1239/JAP/1143936246zbMATH Open1097.60024OpenAlexW1964983385MaRDI QIDQ5488992FDOQ5488992

Albrecht Irle

Publication date: 25 September 2006

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.jap/1143936246

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Mathematics Subject Classification ID

Discrete-time Markov processes on general state spaces (60J05) Stopping times; optimal stopping problems; gambling theory (60G40)

Cites Work

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• On the best choice problem with random population size

Cited In (10)

• A new learning algorithm for optimal stopping
• A forward maximum principle algorithm with decision horizon results
• Robust Stopping Criteria for Dykstra's Algorithm
• A general approximation method for optimal stopping and random delay
• Finding minimum stopping and trapping sets: an integer linear programming approach
• A METHOD FOR PRICING AMERICAN OPTIONS USING SEMI‐INFINITE LINEAR PROGRAMMING
• Going forth and back in time: a fast and parsimonious algorithm for mixed initial/final-value problems
• On the forward algorithm for stopping problems on continuous-time Markov chains
• Title not available (Why is that?)
• On optimal stopping of multidimensional diffusions

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