A note on optimal stopping of diffusions with a two-sided optimal rule.
Jukka LempaPublished in: Oper. Res. Lett. (2010)
Keyphrases
- optimal stopping
- brownian motion
- optimal control
- differential equations
- stochastic process
- finite horizon
- diffusion process
- poisson process
- vector valued
- closed form solutions
- heavy traffic
- stochastic processes
- queue length
- optimal policy
- dynamic programming
- image segmentation
- arrival rate
- infinite horizon
- inventory level
- probabilistic model
- cost function