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Stochastics
An International Journal of Probability and Stochastic Processes
Volume 83, 2011 - Issue 4-6: Optimal stopping with Applications
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Original Articles

A new approach to the solution of optimal stopping problem in a discrete time

Pages 467-475 | Received 01 Dec 2009, Accepted 01 Sep 2010, Published online: 09 Jun 2011

References

  • Feldman , R. and Valdez-Flores , C. 1995 . Applied Probability and Stochastic Processes , Pacific Grove, CA : PWS Publishing Co. .
  • Peskir , G. and Shiryaev , A.N. 2006 . Optimal Stopping and Free-Boundary Problems , Basel : Birkhauser .
  • Presman , E.L. 2009 . “ On Sonin's algorithm for solution of the optimal stopping problem ” . In Proceedings of the Fourth International Conference on Control Problems (January 26–30, 2009) , 300 – 309 . Institute of Control Sciences . Moscow
  • Presman , E.L. and Sonin , I.M. 2009 . On one problem of optimal stopping for random variables given on a Markov chain . Theory Probab. Appl. , 54 ( 3 ) : 534 – 542 .
  • Shiryayev , A.N. 1969 (in Russian) . Statistical Sequential Analysis: Optimal Stopping Rules , Moscow : Nauka . English translation of the second edition: A.N. Shiryayev, Optimal Stopping Rules, Springer-Verlag, NY, 1978
  • Sonin , I.M. 1999 . The elimination algorithm for the problem of optimal stopping . Math. Methods Oper. Res. , 49 : 111 – 123 .
  • Sonin , I.M. 1999 . The state reduction and related algorithms and their applications to the study of Markov chains, graph theory and the optimal stopping problem . Adv. Math. , 145 : 159 – 188 .
  • Sonin , I.M. 2006 . “ Optimal stopping of Markov chains and recursive solution of Poisson and Bellman equations ” . In From Stochastic Calculus to Mathematical Finance , The Shiryaev Festschrift 609 – 621 . New York : Springer-Verlag .

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