Desai, Vijay V.; Farias, Vivek F.; Moallemi, Ciamac C. - In: Management Science 58 (2012) 12, pp. 2292-2308
We introduce the pathwise optimization (PO) method, a new convex optimization procedure to produce upper and lower bounds on the optimal value (the "price") of a high-dimensional optimal stopping problem. The PO method builds on a dual characterization of optimal stopping problems as...