Approximate Solutions for Certain Optimal Stopping Problems
Abstract
Simple methods of determining numerical approximations to the optimal continuation regions of certain optimal stopping problems for a zero drift standard Wiener process are described. The methods involve the use of the solutions of analogous discrete problems together with a correction for continuity. A problem due to Van Moerbeke, the exact solution of which is known, and the one-armed bandit problem are considered as illustrations of the methods.
Document Details
- Document Type
- Technical Report
- Publication Date
- Jan 05, 1978
- Accession Number
- ADA049995
Entities
People
- Albert J. Petkau
Organizations
- Stanford University