Abstract
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.
Keywords
Markov chains; Optimal Stopping; American option pricing;
Replaces
Reference
Laurent Miclo, and Stéphane Villeneuve, “On the forward algorithm for stopping problems on continuous-time Markov chains”, Journal of Applied Probability, vol. 58, n. 4, 2021, pp. 1043–1063.
See also
Published in
Journal of Applied Probability, vol. 58, n. 4, 2021, pp. 1043–1063