Optimal Stopping and Free-Boundary Problems¶
Peskir, G., & Shiryaev, A. (2006). Optimal Stopping and Free-Boundary Problems.
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Primes¶
- Optimal Stopping Rule
- A reasoner equipped with the boundary abstraction does not need to re-derive a bespoke rule per domain; the canonical results — the 1/e rule for exchangeable arrivals, the sequential probability ratio test for sequential testing, the Snell envelope for Markovian processes, reservation-value rules for stationary search
This sourceRigorous treatment connecting optimal stopping (Snell envelope, martingale and Markovian methods) to free-boundary problems in analysis.
- A reasoner equipped with the boundary abstraction does not need to re-derive a bespoke rule per domain; the canonical results — the 1/e rule for exchangeable arrivals, the sequential probability ratio test for sequential testing, the Snell envelope for Markovian processes, reservation-value rules for stationary search
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