A new approach to the solution of optimal stopping problem in a discrete time

DOI10.1080/17442508.2010.521243zbMath1231.60072OpenAlexW2010480001MaRDI QIDQ3108375

Ernst L. Presman

Publication date: 3 January 2012

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2010.521243

zbMATH Keywords

optimal stoppingMarkov chainelimination algorithm

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Numerical analysis or methods applied to Markov chains (65C40) Markov and semi-Markov decision processes (90C40) Optimal stopping in statistics (62L15)

Related Items (2)

Solution of Optimal Stopping Problem Based on a Modification of Payoff Function ⋮ Clearing in Financial Networks

Cites Work

• The state reduction and related algorithms and their applications to the study of Markov chains, graph theory, and the optimal stopping problem
• On Optimal Stopping of Random Sequences Modulated by Markov Chain
• Unnamed Item

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