Lagrangean Methods and Optimal Stopping

DOI10.1080/02331939508844116zbMath0855.60043OpenAlexW1994752477MaRDI QIDQ4888277

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Publication date: 14 January 1997

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331939508844116

zbMATH Keywords

optimal stoppingsaddle pointtacticsLagrangean function

Mathematics Subject Classification ID

Numerical methods involving duality (49M29) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)

Related Items (3)

Optimal stopping with expectation constraints ⋮ Nonlinear PDE Approach to Time-Inconsistent Optimal Stopping ⋮ Bounds for a constrained optimal stopping problem

Cites Work

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• Stopping rules and tactics for processes indexed by a directed set
• Foundations of optimization
• Arret optimal avec contrainte
• An optimal sequential policy for controlling a Markov renewal process
• Optimal Stopping with a Horizon Constraint
• Optimal stopping and supermartingales over partially ordered sets
• On a constrained optimal stopping problem
• Some time-invariant stopping rule problems
• The job search problem as an employer–candidate game

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