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Optimal stopping, exponential utility, and linear programming

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Abstract

This paper uses linear programming to compute an optimal policy for a stopping problem whose utility function is exponential. This is done by transforming the problem into an equivalent one having additive utility and nonnegative (not necessarily substochastic) transition matrices.

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Authors and Affiliations

  1. Yale University, New Haven, CT, USA

    Eric V. Denardo & Uriel G. Rothblum

Authors
  1. Eric V. Denardo
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  2. Uriel G. Rothblum
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Additional information

Research was supported by NSF Grant ENG 76-15599.

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Denardo, E.V., Rothblum, U.G. Optimal stopping, exponential utility, and linear programming. Mathematical Programming 16, 228–244 (1979). https://doi.org/10.1007/BF01582110

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  • DOI: https://doi.org/10.1007/BF01582110

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