A Forward Algorithm for Solving Optimal Stopping Problems
Albrecht Irle · Journal of Applied Probability · 2006
We consider the optimal stopping problem for g(Zn), where Zn, n = 1, 2, …, is a homogeneous Markov sequence. An algorithm, called forward improvement iteration, is presented by which an optimal stopping time can be computed. Using an iterative step, this algorithm computes a sequence B0 ⊇ B1 ⊇ B2 ⊇ · · · of subsets of the state space such that the first entrance time into the intersection F of these sets is an optimal stopping time. Various applications are given.