A Forward Algorithm for Solving Optimal Stopping Problems

DOI10.1239/jap/1143936246zbMath1097.60024OpenAlexW1964983385MaRDI QIDQ5488992

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

Mathematics Subject Classification ID

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

Related Items (4)

A general approximation method for optimal stopping and random delay ⋮ A METHOD FOR PRICING AMERICAN OPTIONS USING SEMI‐INFINITE LINEAR PROGRAMMING ⋮ On optimal stopping of multidimensional diffusions ⋮ On the forward algorithm for stopping problems on continuous-time Markov chains

Cites Work

• On the best choice problem with random population size
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