Linear Programming Formulation for Optimal Stopping Problems
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Publication:4537820
DOI10.1137/S0363012900377663zbMath1010.60037WikidataQ59619690 ScholiaQ59619690MaRDI QIDQ4537820
Moon Jung Cho, Richard H. Stockbridge
Publication date: 23 June 2002
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
generatorlinear programmingoptimal stopping problemoccupation measuresMarkov chain approximationnumerical accuracy
Linear programming (90C05) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40)
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