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

页码：1043 / 1063

页数：21

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