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The Elimination algorithm for the problem of optimal stopping

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Abstract.

 We present a new algorithm for solving the optimal stopping problem. The algorithm is based on the idea of elimination of states where stopping is nonoptimal and the corresponding correction of transition probabilities. The formal justification of this method is given by one of two presented theorems. The other theorem describes the situation when an aggregation of states is possible in the optimal stopping problem.

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Authors and Affiliations

  1. Department of Mathematics, University of North Carolina at Charlotte, Charlotte, NC 28223, USA (e-mail: imsonin@email.uncc.edu), , , , , , US

    Isaac Sonin

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  1. Isaac Sonin
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Manuscript received: April 1997/final version received: July 1998

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Sonin, I. The Elimination algorithm for the problem of optimal stopping. Mathematical Methods of OR 49, 111–123 (1999). https://doi.org/10.1007/PL00020910

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  • DOI: https://doi.org/10.1007/PL00020910

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