A Forward Algorithm for Solving Optimal Stopping Problems
Keyword(s):
We consider the optimal stopping problem for g(Z n ), where Z n , n = 1, 2, …, is a homogeneous Markov sequence. An algorithm, called forward improvement iteration, is presented by which an optimal stopping time can be computed. Using an iterative step, this algorithm computes a sequence B 0 ⊇ B 1 ⊇ B 2 ⊇ · · · of subsets of the state space such that the first entrance time into the intersection F of these sets is an optimal stopping time. Various applications are given.
2006 ◽
Vol 43
(1)
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pp. 102-113
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2005 ◽
Vol 42
(03)
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pp. 826-838
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2005 ◽
Vol 42
(3)
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pp. 826-838
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1993 ◽
Vol 25
(04)
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pp. 825-846
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1970 ◽
Vol 2
(02)
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pp. 259-286
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2004 ◽
Vol 47
(3)
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pp. 145-162