A Note on the Continuity of Free-Boundaries in Finite-Horizon Optimal Stopping Problems for One-Dimensional Diffusions.
Tiziano De AngelisPublished in: SIAM J. Control. Optim. (2015)
Keyphrases
- optimal stopping
- finite horizon
- brownian motion
- optimal policy
- infinite horizon
- markov decision processes
- markov decision process
- decision problems
- differential equations
- long run
- special case
- decision making
- multistage
- heavy traffic
- non stationary
- dynamical systems
- optimal control
- stochastic process
- markov chain
- dynamic programming