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Upravlenie Bol'shimi Sistemami, 2014, Issue 52, Pages 6–22 (Mi ubs784)  
This article is cited in 1 scientific paper (total in 1 paper)

Mathematical Control Theory

Algorithm to solve the optimal stopping problem with finite horizon

V. M. Khametova, E. A. Shelemekhb, E. Yasonova

a HSE
b CEMI RAS
Full-text PDF (365 kB) Citations (1)
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Abstract: We propose an algorithm that solves the optimal stopping problem with the finite horizon. The algorithm is based on a derived recurrent equation for the optimal stopping time. It fulfils "separation" principle of solving the optimal stopping problem. This algorithm, implemented in Maple 14 system of computer algebras, is used to solve optimal stopping problems for several discrete Markovian sequences.
Keywords: optimal stopping problem, Snell’s envelope, stopping region.
Document Type: Article
UDC: 519.216
BBC: 22.1
Language: Russian
Citation: V. M. Khametov, E. A. Shelemekh, E. Yasonov, “Algorithm to solve the optimal stopping problem with finite horizon”, UBS, 52 (2014), 6–22
Citation in format AMSBIB
\Bibitem{KhaSheYas14}
\by V.~M.~Khametov, E.~A.~Shelemekh, E.~Yasonov
\paper Algorithm to solve the optimal stopping problem with finite horizon
\jour UBS
\yr 2014
\vol 52
\pages 6--22
\mathnet{http://mi.mathnet.ru/ubs784}
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    • This publication is cited in the following 1 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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