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Erschienen in:
2021 | OriginalPaper | Buchkapitel
21. Optimal Stopping in Discrete Time
verfasst von : Tomas Björk, Mariana Khapko, Agatha Murgoci
Erschienen in: Time-Inconsistent Control Theory with Finance Applications
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Abstract
Optimal stopping theory studies problems that involve determining the best time to intervene and stop a process in order to maximize expected rewards or minimize expected costs. Applications of optimal stopping theory are plentiful and include asset trading (e.g., the best time to sell an asset), derivative pricing (e.g., American options), real options theory (e.g., the best time to invest in a project), economics of gambling (e.g., when to stop gambling in a casino), and search and matching (e.g., when to stop searching and accept a job). In this chapter we briefly summarize standard optimal stopping theory in discrete time.