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JOURNALS // Upravlenie Bol'shimi Sistemami // Archive

UBS, 2014 Issue 52, Pages 6–22 (Mi ubs784)

This article is cited 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

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.

UDC: 519.216
BBK: 22.1



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