2 papers
math.PR2019
An algorithm to solve optimal stopping problems for one-dimensional diffusions
Fabián Crocce, Ernesto Mordecki
Considering a real-valued diffusion, a real-valued reward function and a positive discount rate, we provide an algorithm to solve the optimal stopping problem consisting in finding…
math.PR2018
A non-iterative algorithm for generalized Pig games
Fabián Crocce, Ernesto Mordecki
We provide a polynomial algorithm to find the value and an optimal strategy for a generalization of the Pig game. Modeled as a competitive Markov decision process, the correspondin…