On the forward algorithm for stopping problems on continuous-time Markov chains

被引：2
|
作者：
Miclo, Laurent [1 ,2 ,3 ]
Villeneuve, Stephane [2 ,3 ]
机构：
[1] CNRS, Paris, France
[2] Univ Toulouse, Toulouse, France
[3] Toulouse Sch Econ, 1 Esplanade Univ, F-31080 Toulouse 06, France
来源：
JOURNAL OF APPLIED PROBABILITY | 2021年 / 58卷 / 04期
关键词：
Forward algorithm; constrained optimal stopping; Markov chains; CONSTRUCTION; AMERICAN;
D O I：
10.1017/jpr.2021.11
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
We revisit the forward algorithm, developed by Irle, to characterize both the value function and the stopping set for a large class of optimal stopping problems on continuous-time Markov chains. Our objective is to renew interest in this constructive method by showing its usefulness in solving some constrained optimal stopping problems that have emerged recently.
引用
收藏
页码：1043 / 1063
页数：21
相关论文
共 50 条
12345