Accession Number:

AD0688150

Title:

INFINITESIMAL LOOK-AHEAD STOPPING RULES

Descriptive Note:

Research rept.

Corporate Author:

CALIFORNIA UNIV BERKELEY OPERATIONS RESEARCH CENTER

Personal Author(s):

Report Date:

1969-04-01

Pagination or Media Count:

20.0

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.

Subject Categories:

  • Operations Research

Distribution Statement:

APPROVED FOR PUBLIC RELEASE