On a Correspondence between Optimal Stopping Problems on Finite and Infinite Time Intervals

Van Moerbeke [Arch. Rational Mech. Anal., 60 (1976), pp. 101--148] proved that there is a correspondence between optimal stopping problems on finite and infinite time intervals. In the present paper, such a correspondence is constructed via different ideas from statistical sequential analysis.

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Publication Details

Journal
Theory of Probability and Its Applications
Published
2025-05-01
DOI
https://doi.org/10.1137/s0040585x97t992306
Primary Topic
Optimization and Search Problems
Type
article
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article

On a Correspondence between Optimal Stopping Problems on Finite and Infinite Time Intervals

Alexey Anatol'evich Muravlev
1 links
Theory of Probability and Its Applications
Optimization and Search Problems
article

On a Correspondence between Optimal Stopping Problems on Finite and Infinite Time Intervals

Alexey Anatol'evich Muravlev
article en

Abstract

Van Moerbeke [Arch. Rational Mech. Anal., 60 (1976), pp. 101--148] proved that there is a correspondence between optimal stopping problems on finite and infinite time intervals. In the present paper, such a correspondence is constructed via different ideas from statistical sequential analysis.

Theory of Probability and Its ApplicationsVol. 70(1)
Openalex Percentile: Top 91%
Optimization and Search Problems
DOISourceOpenAlex
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On a Correspondence between Optimal Stopping Problems on Finite and Infinite Time Intervals — Alexey Anatol'evich Muravlev · Theory of Probability and Its Applications (2025) | TGRS Research Map | TGRS