RT Journal Article
SR 00
ID 10.1017/jpr.2021.11
A1 Miclo, Laurent
A1 Villeneuve, Stéphane
T1 On the forward algorithm for stopping problems on continuous-time Markov chains
JF Journal of Applied Probability
YR 2021
FD 2021-12
VO vol. 58
IS n° 4
SP 1043
OP 1063
K1 Markov chains
K1 Optimal Stopping
K1 American option pricing
AB 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.
PB Applied Probability Trust
SN 0021-9002
LK https://publications.ut-capitole.fr/id/eprint/42691/
UL http://tse-fr.eu/pub/125318