INFINITESIMAL LOOK-AHEAD STOPPING RULES
CALIFORNIA UNIV BERKELEY OPERATIONS RESEARCH CENTER
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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.
- Operations Research