Approximate Solutions for Certain Optimal Stopping Problems.

Abstract

This paper presents simple approximate methods which lead to arbitrarily accurate numerical approximations to the optimal continuation regions of optimal stopping problems involving a zero drift standard Wiener process. The methods involve approximating the Wiener process by a simple random walk, solving the analogous problem for the random walk and subsequently applying a correction for continuity due to Chernoff and Petkau to the solution of the discrete problem. The methods are illustrated in a problem due to Van Moerbeke for which the exact solution is known and in the one-armed bandit problem which has arisen in several different contexts in the statistical literature. (Author)

Open PDF

Document Details

Document Type
Technical Report
Publication Date
Dec 21, 1977
Accession Number
ADA049556

Entities

People

  • A. John Petkau

Organizations

  • Massachusetts Institute of Technology

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Accuracy
  • Algorithms
  • Asymptotic Series
  • Boundaries
  • Computations
  • Equations
  • Mathematics
  • Military Research
  • Probability
  • Random Variables
  • Random Walk
  • Sequences
  • Sequential Analysis
  • Standards
  • Statistical Decision Theory
  • Statistics
  • Truncation

Fields of Study

  • Mathematics

Readers

  • Calculus or Mathematical Analysis
  • Operations Research
  • Statistical inference.