Title :
A control-theoretic approach to optimal stopping
Author_Institution :
University of Kentucky, Lexington, Kentucky
Abstract :
A general problem of optimal stopping is studied via continuous-time Dynamic Programming. Local necessary and sufficient conditions for optimality are obtained in the form of generalized variational inequalities.
Keywords :
Decision theory; Diffusion processes; Dynamic programming; Optimal control; Probability; Stochastic processes;
Conference_Titel :
Decision and Control including the Symposium on Adaptive Processes, 1980 19th IEEE Conference on
Conference_Location :
Albuquerque, NM, USA
DOI :
10.1109/CDC.1980.272038
