On the forward algorithm for stopping problems on continuous-time Markov chains
Laurent Miclo, Stéphane Villeneuve · Journal of Applied Probability · 2021
Abstract We revisit the forward algorithm, developed by Irle, to characterize both the value function and the stopping set for a large class of optimal stopping problems on continuous-time Markov chains. Our objective is to renew interest in this constructive method by showing its usefulness in solving some constrained optimal stopping problems that have emerged recently.