On the forward algorithm for stopping problems on continuous-time Markov chains

Résumé

We revisit the forward algorithm, developed by Irle, to characterize both the value function and the stopping set for a large class of optimal stopping problems on continuous-time Markov chains. Our objective is to renew interest in this constructive method by showing its usefulness in solving some constrained optimal stopping problems that have emerged recently.

Mots-clés

Remplace

Référence

Laurent Miclo et Stéphane Villeneuve, « On the forward algorithm for stopping problems on continuous-time Markov chains », Journal of Applied Probability, vol. 58, n° 4, 2021, p. 1043–1063.