On approximative solutions of optimal stopping problems
نویسنده
چکیده
In this paper some extensions are given of the method to approximate optimal discrete time stopping problems by related limiting stopping problems for Poisson type processes. In particular we establish detailed results for the solutions of the differential equations characterizing the optimal stopping curves in the limiting stopping problem. These allow to determine explicit approximative optimal stopping times for some new classes of examples. As particular application we give a fairly complete discussion of the approximative optimal stopping behavior of i.i.d. sequences with discount and observation costs.
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تاریخ انتشار 2009