An Iterative Method for the Multiple Stopping Problem under Knightian Uncertainty

In this paper, we introduce a new algorithm based on the one-step improvement to solve the optimal multiple stopping problem under Knightian uncertainty in the discrete time case. This algorithm induces a monotonically increasing sequence to approximate the value functions, which coincides with the value functions after finitely many iteration steps independent of the times of exercise rights. We also present the stability of this algorithm and some numerical simulations.