Treffer: Numerical methods for optimal stopping using linear and non-linear programming
Title:
Numerical methods for optimal stopping using linear and non-linear programming
Authors:
Source:
Stochastic theory and control (Lawrence KS, 18-20 October 2001)Lecture notes in control and information sciences. :185-203
Publisher Information:
Berlin: Springer, 2002.
Publication Year:
2002
Physical Description:
print, 20 ref
Original Material:
CRAN
Subject Terms:
Control theory, operational research, Automatique, recherche opérationnelle, Documentation, Computer science, Informatique, Mathematics, Mathématiques, Sciences exactes et technologie, Exact sciences and technology, Sciences et techniques communes, Sciences and techniques of general use, Mathematiques, Mathematics, Probabilités et statistiques, Probability and statistics, Théorie des probabilités et processus stochastiques, Probability theory and stochastic processes, Processus de markov, Markov processes, Analyse numérique. Calcul scientifique, Numerical analysis. Scientific computation, Analyse numérique, Numerical analysis, Méthodes numériques en programmation mathématique, optimisation et calcul variationnel, Numerical methods in mathematical programming, optimization and calculus of variations, Arrêt optimal, Optimal stopping, Interrupción óptima, Fonction objectif, Objective function, Función objetivo, Mouvement brownien, Brownian motion, Movimiento browniano, Méthode numérique, Numerical method, Método numérico, Processus Markov, Markov process, Proceso Markov, Programmation linéaire, Linear programming, Programación lineal, Programmation non linéaire, Non linear programming, Programación no lineal, Temps arrêt, Stopping time, Tiempo parada
Document Type:
Konferenz
Conference Paper
File Description:
text
Language:
English
Author Affiliations:
Humboldt University of Berlin, Institute of Operations Research, Germany
ISSN:
0170-8643
Rights:
CC BY 4.0
Sauf mention contraire ci-dessus, le contenu de cette notice bibliographique peut être utilisé dans le cadre d’une licence CC BY 4.0 Inist-CNRS / Unless otherwise stated above, the content of this bibliographic record may be used under a CC BY 4.0 licence by Inist-CNRS / A menos que se haya señalado antes, el contenido de este registro bibliográfico puede ser utilizado al amparo de una licencia CC BY 4.0 Inist-CNRS
Sauf mention contraire ci-dessus, le contenu de cette notice bibliographique peut être utilisé dans le cadre d’une licence CC BY 4.0 Inist-CNRS / Unless otherwise stated above, the content of this bibliographic record may be used under a CC BY 4.0 licence by Inist-CNRS / A menos que se haya señalado antes, el contenido de este registro bibliográfico puede ser utilizado al amparo de una licencia CC BY 4.0 Inist-CNRS
Notes:
Mathematics
Accession Number:
edscal.14538986
Database:
PASCAL Archive
Weitere Informationen
Computational methods for optimal stopping problems are presented. The first method to be described is based on a linear programming approach to exit time problems of Markov processes and is applicable whenever the objective function is a unimodal function of a threshhold parameter which specifies a stopping time. The second method, using linear and non-linear programming techniques, is a modification of a general linear programming approach to optimal stopping problems recently proposed by S. Röhl. Both methods are illustrated by solving Shiryaev's quickest detection problem for Brownian motion.