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Approximations of the optimal stopping problem in partial observation

Published online by Cambridge University Press:  14 July 2016

G. Mazziotto
G. Mazziotto*
Affiliation:
CNET
*
∗ Postal address: PAA/TIM/DRI, Centre National d'Etudes des Télécommunications, 38–40, Rue du Général Leclerc, 92131 Issy les Moulineaux, France.
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Abstract

The resolution of the optimal stopping problem for a partially observed Markov state process reduces to the computation of a function — the Snell envelope — defined on a measure space which is in general infinite-dimensional. To avoid these computational difficulties, we propose in this paper to approximate the optimal stopping time as the limit of times associated to similar problems for a sequence of processes converging towards the true state. We show on two examples that these approximating states can be chosen such that the Snell envelopes can be explicitly computed.

Keywords

FILTERINGAPPROXIMATION

Information

Type
Research Paper
Information
Journal of Applied Probability , Volume 23 , Issue 2 , June 1986, pp. 341 - 354
Copyright
Copyright © Applied Probability Trust 1986 

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