Infinitesimal Look-Ahead Stopping Rules

Sheldon M. Ross

51 citations0/0 files storedThe Annals of Mathematical Statistics

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Stochastic processes and financial applications Probability and Statistical Research Optimization and Search Problems

Abstract

Abstract : The continuous time optimal stopping problem is considered and an infinitesimal look ahead procedure is defined. Sufficient conditions are then given which ensure that this procedure, which is the continuous time analogue of the one stage look ahead rule in the discrete time problem, is optimal. These results are then applied to a class of continuous time Markov decision processes.

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