Approximative solutions of optimal stopping and selection problems
Journal Title: Mathematica Applicanda. Annales Societatis Mathematicae Polonae Series III . - Year 2016, Vol 44, Issue 1
Abstract
In this paper we review a series of developments over the last 15 years in which a general method for the approximative solution of finite discrete time optimal stopping and choice problems has been developed. This method also allows to deal with multiple stopping and choice problems and to deal with stopping or choice problems for some classes of dependent sequences. The basic assumption of this approach is that the sequence of normalized observations when embedded in the plane converges in distribution to a Poisson or to a cluster process. For various classes of examples the method leads to explicit or numerically accessible solutions.
Authors and Affiliations
Ludger Rüschendorf
Keywords
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- EP ID EP224038
- DOI 10.14708/ma.v44i1.826
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