Approximative solutions of optimal stopping and selection problems

Ludger Rüschendorf. "Approximative solutions of optimal stopping and selection problems." Mathematica Applicanda 44.1 (2016): null. <http://eudml.org/doc/293183>.

@article{LudgerRüschendorf2016,
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.},
author = {Ludger Rüschendorf},
journal = {Mathematica Applicanda},
keywords = {best choice problem; optimal stopping; Poisson process},
language = {eng},
number = {1},
pages = {null},
title = {Approximative solutions of optimal stopping and selection problems},
url = {http://eudml.org/doc/293183},
volume = {44},
year = {2016},
}

TY - JOUR
AU - Ludger Rüschendorf
TI - Approximative solutions of optimal stopping and selection problems
JO - Mathematica Applicanda
PY - 2016
VL - 44
IS - 1
SP - null
AB - 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.
LA - eng
KW - best choice problem; optimal stopping; Poisson process
UR - http://eudml.org/doc/293183
ER -