Approximations and bounds for a generalized optimal stopping problem

DOI10.1007/BF01917107zbMath0491.90091OpenAlexW1998945188MaRDI QIDQ3953584

Wolfgang J. Runggaldier, Fabio L. Spizzichino

Publication date: 1982

Published in: Zeitschrift für Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01917107

zbMATH Keywords

upper boundsapproximate solutionslower boundsstochastic dynamic programmingstochastic monotonicitycomputational aspectssuboptimal policyfinite-horizon nonstationary Markovian decision problemgeneralized optimal stoppingoptimal exploratory oil drilling

Mathematics Subject Classification ID

Dynamic programming (90C39) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Markov and semi-Markov decision processes (90C40) Operations research and management science (90B99)

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