Skip to main content Accessibility help
×
Home

A Forward Algorithm for Solving Optimal Stopping Problems

  • Albrecht Irle (a1)

Abstract

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 0B 1B 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.

    • Send article to Kindle

      To send this article to your Kindle, first ensure no-reply@cambridge.org is added to your Approved Personal Document E-mail List under your Personal Document Settings on the Manage Your Content and Devices page of your Amazon account. Then enter the ‘name’ part of your Kindle email address below. Find out more about sending to your Kindle. Find out more about sending to your Kindle.

      Note you can select to send to either the @free.kindle.com or @kindle.com variations. ‘@free.kindle.com’ emails are free but can only be sent to your device when it is connected to wi-fi. ‘@kindle.com’ emails can be delivered even when you are not connected to wi-fi, but note that service fees apply.

      Find out more about the Kindle Personal Document Service.

      A Forward Algorithm for Solving Optimal Stopping Problems
      Available formats
      ×

      Send article to Dropbox

      To send this article to your Dropbox account, please select one or more formats and confirm that you agree to abide by our usage policies. If this is the first time you use this feature, you will be asked to authorise Cambridge Core to connect with your <service> account. Find out more about sending content to Dropbox.

      A Forward Algorithm for Solving Optimal Stopping Problems
      Available formats
      ×

      Send article to Google Drive

      To send this article to your Google Drive account, please select one or more formats and confirm that you agree to abide by our usage policies. If this is the first time you use this feature, you will be asked to authorise Cambridge Core to connect with your <service> account. Find out more about sending content to Google Drive.

      A Forward Algorithm for Solving Optimal Stopping Problems
      Available formats
      ×

Copyright

Corresponding author

Postal address: Mathematisches Seminar, University of Kiel, Ludwig-Meyn-Strasse 4, D-24098 Kiel, Germany. Email address: irle@math.uni-kiel.de

References

Hide All
Beibel, M. and Lerche, H. R. (1997). A new look at optimal stopping problems related to mathematical finance. Statistica Sinica 7, 93108.
Chow, Y. S., Robbins, H. and Siegmund, D. (1971). Great Expectations: The Theory of Optimal Stopping. Houghton Mifflin, Boston, MA.
Feller, W. (1957). An Introduction to Probability and Statistics, Vol. I, 2nd edn. John Wiley, New York.
Irle, A. (1980). On the best choice problem with random population size. Z. Operat. Res. 24, 177190.
Shiryayev, A. N. (1978). Optimal Stopping Rules. Springer, New York.

Keywords

MSC classification

A Forward Algorithm for Solving Optimal Stopping Problems

  • Albrecht Irle (a1)

Metrics

Full text views

Total number of HTML views: 0
Total number of PDF views: 0 *
Loading metrics...

Abstract views

Total abstract views: 0 *
Loading metrics...

* Views captured on Cambridge Core between <date>. This data will be updated every 24 hours.

Usage data cannot currently be displayed