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An approximate characterisation of optimal stopping boundaries
Published online by Cambridge University Press: 14 July 2016
Abstract
An identity, of the type of Green's equation, is deduced for the loss function of a stopping process. This yields a set of relations determining the optimal (minimal loss) stopping boundary, which do not require simultaneous determination of the loss function in the stopping region. A no-overshoot approximation is invoked, but a bound on the magnitude of the terms neglected is obtained by appeal to a general version of Chernoff's tangency condition at an optimal boundary.
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- Copyright © Applied Probability Trust 1973
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