Abstract
In this chapter, we approximate continuous time finite horizon stopping problems using either continuous and discrete time penalty approach or direct discretization. We point out possible errors of such approximations and construct approximate optimal stopping times.
Keywords
- Optimal Stopping Problem
- Direct Discretization
- Parental Punishment
- Discrete-time Markov Process
- Bounded Borel Measurable Function
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Research supported by MNiSzW grant NN 201 371836.
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Stettner, L. (2012). Discrete Time Approximations of Continuous Time Finite Horizon Stopping Problems. In: Hernández-Hernández, D., Minjárez-Sosa, J. (eds) Optimization, Control, and Applications of Stochastic Systems. Systems & Control: Foundations & Applications. Birkhäuser, Boston. https://doi.org/10.1007/978-0-8176-8337-5_16
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DOI: https://doi.org/10.1007/978-0-8176-8337-5_16
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