{"id":"https://openalex.org/W2086039020","doi":"https://doi.org/10.1109/tac.2013.2257970","title":"Optimal Stopping of Partially Observable Markov Processes: A Filtering-Based Duality Approach","display_name":"Optimal Stopping of Partially Observable Markov Processes: A Filtering-Based Duality Approach","publication_year":2013,"publication_date":"2013-04-15","ids":{"openalex":"https://openalex.org/W2086039020","doi":"https://doi.org/10.1109/tac.2013.2257970","mag":"2086039020"},"language":"en","primary_location":{"id":"doi:10.1109/tac.2013.2257970","is_oa":false,"landing_page_url":"https://doi.org/10.1109/tac.2013.2257970","pdf_url":null,"source":{"id":"https://openalex.org/S184954342","display_name":"IEEE Transactions on Automatic Control","issn_l":"0018-9286","issn":["0018-9286","1558-2523","2334-3303"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319808","host_organization_name":"Institute of Electrical and Electronics Engineers","host_organization_lineage":["https://openalex.org/P4310319808"],"host_organization_lineage_names":["Institute of Electrical and Electronics Engineers"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"IEEE Transactions on Automatic Control","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5100850825","display_name":"Fan Ye","orcid":"https://orcid.org/0009-0008-1978-661X"},"institutions":[{"id":"https://openalex.org/I157725225","display_name":"University of Illinois Urbana-Champaign","ror":"https://ror.org/047426m28","country_code":"US","type":"education","lineage":["https://openalex.org/I157725225"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Fan Ye","raw_affiliation_strings":["Department of Industrial & Enterprise Systems Engineering, University of Illinois at Urbana-Champaign, Urbana, IL, United States of America","[Dept. of Ind. & Enterprise Syst. Eng., Univ. of Illinois at Urbana-Champaign, Urbana, IL, USA]"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Industrial & Enterprise Systems Engineering, University of Illinois at Urbana-Champaign, Urbana, IL, United States of America","institution_ids":["https://openalex.org/I157725225"]},{"raw_affiliation_string":"[Dept. of Ind. & Enterprise Syst. Eng., Univ. of Illinois at Urbana-Champaign, Urbana, IL, USA]","institution_ids":["https://openalex.org/I157725225"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5083807807","display_name":"Enlu Zhou","orcid":"https://orcid.org/0000-0001-5399-6508"},"institutions":[{"id":"https://openalex.org/I157725225","display_name":"University of Illinois Urbana-Champaign","ror":"https://ror.org/047426m28","country_code":"US","type":"education","lineage":["https://openalex.org/I157725225"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Enlu Zhou","raw_affiliation_strings":["Department of Industrial & Enterprise Systems Engineering, University of Illinois at Urbana-Champaign, Urbana, IL, United States of America","[Dept. of Ind. & Enterprise Syst. Eng., Univ. of Illinois at Urbana-Champaign, Urbana, IL, USA]"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Industrial & Enterprise Systems Engineering, University of Illinois at Urbana-Champaign, Urbana, IL, United States of America","institution_ids":["https://openalex.org/I157725225"]},{"raw_affiliation_string":"[Dept. of Ind. & Enterprise Syst. Eng., Univ. of Illinois at Urbana-Champaign, Urbana, IL, USA]","institution_ids":["https://openalex.org/I157725225"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":[],"corresponding_institution_ids":["https://openalex.org/I157725225"],"apc_list":null,"apc_paid":null,"fwci":3.4621,"has_fulltext":false,"cited_by_count":14,"citation_normalized_percentile":{"value":0.92870033,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":98},"biblio":{"volume":"58","issue":"10","first_page":"2698","last_page":"2704"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9994000196456909,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9994000196456909,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12011","display_name":"Insurance, Mortality, Demography, Risk Management","score":0.9861999750137329,"subfield":{"id":"https://openalex.org/subfields/3317","display_name":"Demography"},"field":{"id":"https://openalex.org/fields/33","display_name":"Social Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10974","display_name":"Advanced Queuing Theory Analysis","score":0.9700000286102295,"subfield":{"id":"https://openalex.org/subfields/1404","display_name":"Management Information Systems"},"field":{"id":"https://openalex.org/fields/14","display_name":"Business, Management and Accounting"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/optimal-stopping","display_name":"Optimal stopping","score":0.7565667629241943},{"id":"https://openalex.org/keywords/upper-and-lower-bounds","display_name":"Upper and lower bounds","score":0.6807287931442261},{"id":"https://openalex.org/keywords/duality","display_name":"Duality (order theory)","score":0.6670360565185547},{"id":"https://openalex.org/keywords/martingale","display_name":"Martingale (probability theory)","score":0.6517831087112427},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.6417230367660522},{"id":"https://openalex.org/keywords/bellman-equation","display_name":"Bellman equation","score":0.6277390718460083},{"id":"https://openalex.org/keywords/observable","display_name":"Observable","score":0.5745819807052612},{"id":"https://openalex.org/keywords/markov-process","display_name":"Markov process","score":0.5675874352455139},{"id":"https://openalex.org/keywords/optional-stopping-theorem","display_name":"Optional stopping theorem","score":0.5627759099006653},{"id":"https://openalex.org/keywords/stopping-time","display_name":"Stopping time","score":0.5564826726913452},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.5049434304237366},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.4973430931568146},{"id":"https://openalex.org/keywords/discrete-time-and-continuous-time","display_name":"Discrete time and continuous time","score":0.4670374095439911},{"id":"https://openalex.org/keywords/duality-gap","display_name":"Duality gap","score":0.4361029863357544},{"id":"https://openalex.org/keywords/markov-chain","display_name":"Markov chain","score":0.43371421098709106},{"id":"https://openalex.org/keywords/optimization-problem","display_name":"Optimization problem","score":0.18382528424263},{"id":"https://openalex.org/keywords/discrete-mathematics","display_name":"Discrete mathematics","score":0.1546154022216797},{"id":"https://openalex.org/keywords/mathematical-analysis","display_name":"Mathematical analysis","score":0.09372979402542114}],"concepts":[{"id":"https://openalex.org/C99414536","wikidata":"https://www.wikidata.org/wiki/Q7098950","display_name":"Optimal stopping","level":2,"score":0.7565667629241943},{"id":"https://openalex.org/C77553402","wikidata":"https://www.wikidata.org/wiki/Q13222579","display_name":"Upper and lower bounds","level":2,"score":0.6807287931442261},{"id":"https://openalex.org/C2778023678","wikidata":"https://www.wikidata.org/wiki/Q554403","display_name":"Duality (order theory)","level":2,"score":0.6670360565185547},{"id":"https://openalex.org/C48406656","wikidata":"https://www.wikidata.org/wiki/Q534112","display_name":"Martingale (probability theory)","level":2,"score":0.6517831087112427},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.6417230367660522},{"id":"https://openalex.org/C14646407","wikidata":"https://www.wikidata.org/wiki/Q1430750","display_name":"Bellman equation","level":2,"score":0.6277390718460083},{"id":"https://openalex.org/C32848918","wikidata":"https://www.wikidata.org/wiki/Q845789","display_name":"Observable","level":2,"score":0.5745819807052612},{"id":"https://openalex.org/C159886148","wikidata":"https://www.wikidata.org/wiki/Q176645","display_name":"Markov process","level":2,"score":0.5675874352455139},{"id":"https://openalex.org/C52832964","wikidata":"https://www.wikidata.org/wiki/Q2027347","display_name":"Optional stopping theorem","level":3,"score":0.5627759099006653},{"id":"https://openalex.org/C99888217","wikidata":"https://www.wikidata.org/wiki/Q1288707","display_name":"Stopping time","level":2,"score":0.5564826726913452},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.5049434304237366},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.4973430931568146},{"id":"https://openalex.org/C55689738","wikidata":"https://www.wikidata.org/wiki/Q15963867","display_name":"Discrete time and continuous time","level":2,"score":0.4670374095439911},{"id":"https://openalex.org/C5274546","wikidata":"https://www.wikidata.org/wiki/Q5310264","display_name":"Duality gap","level":3,"score":0.4361029863357544},{"id":"https://openalex.org/C98763669","wikidata":"https://www.wikidata.org/wiki/Q176645","display_name":"Markov chain","level":2,"score":0.43371421098709106},{"id":"https://openalex.org/C137836250","wikidata":"https://www.wikidata.org/wiki/Q984063","display_name":"Optimization problem","level":2,"score":0.18382528424263},{"id":"https://openalex.org/C118615104","wikidata":"https://www.wikidata.org/wiki/Q121416","display_name":"Discrete mathematics","level":1,"score":0.1546154022216797},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.09372979402542114},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.0},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1109/tac.2013.2257970","is_oa":false,"landing_page_url":"https://doi.org/10.1109/tac.2013.2257970","pdf_url":null,"source":{"id":"https://openalex.org/S184954342","display_name":"IEEE Transactions on Automatic Control","issn_l":"0018-9286","issn":["0018-9286","1558-2523","2334-3303"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319808","host_organization_name":"Institute of Electrical and Electronics Engineers","host_organization_lineage":["https://openalex.org/P4310319808"],"host_organization_lineage_names":["Institute of Electrical and Electronics Engineers"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"IEEE Transactions on Automatic Control","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":15,"referenced_works":["https://openalex.org/W1525526370","https://openalex.org/W1573874356","https://openalex.org/W1965399019","https://openalex.org/W1970978299","https://openalex.org/W1991761850","https://openalex.org/W2076522620","https://openalex.org/W2088298592","https://openalex.org/W2098432798","https://openalex.org/W2126311658","https://openalex.org/W2137824542","https://openalex.org/W2152565894","https://openalex.org/W3104104764","https://openalex.org/W3122113998","https://openalex.org/W3122966166","https://openalex.org/W3124696154"],"related_works":["https://openalex.org/W4316830005","https://openalex.org/W3097642646","https://openalex.org/W2002489931","https://openalex.org/W2061115893","https://openalex.org/W2161463710","https://openalex.org/W2282111838","https://openalex.org/W1966640694","https://openalex.org/W1511853515","https://openalex.org/W2067511385","https://openalex.org/W2090158052"],"abstract_inverted_index":{"In":[0],"this":[1,58,86],"note,":[2],"we":[3,60],"develop":[4,61],"a":[5,48,62,95],"numerical":[6],"approach":[7,87],"to":[8,25],"the":[9,36,41,44,52,55,69,74,79,105,115],"problem":[10,77],"of":[11,14,51,54,73,117,123,130],"optimal":[12,75],"stopping":[13,76,97],"discrete-time":[15],"continuous-state":[16],"partially":[17],"observable":[18],"Markov":[19],"processes":[20],"(POMPs).":[21],"Our":[22],"motivation":[23],"is":[24],"find":[26],"approximate":[27],"solutions":[28],"that":[29,40,85],"provide":[30,47],"lower":[31,91],"and":[32,78,113],"upper":[33,102],"bounds":[34,45],"on":[35,68,104,120],"value":[37,106],"function":[38],"such":[39],"gap":[42],"between":[43],"can":[46],"practical":[49],"measure":[50],"quality":[53],"solutions.":[56],"To":[57],"end,":[59],"filtering-based":[63],"duality":[64,71],"approach,":[65],"which":[66],"relies":[67],"martingale":[70],"formulation":[72],"particle":[80],"filtering":[81],"technique.":[82],"We":[83,108],"show":[84],"complements":[88],"an":[89,100,121],"asymptotic":[90,101],"bound":[92,103],"derived":[93],"from":[94],"suboptimal":[96],"time":[98],"with":[99],"function.":[107],"carry":[109],"out":[110],"error":[111],"analysis":[112],"illustrate":[114],"effectiveness":[116],"our":[118],"method":[119],"example":[122],"pricing":[124],"American":[125],"options":[126],"under":[127],"partial":[128],"observation":[129],"stochastic":[131],"volatility.":[132]},"counts_by_year":[{"year":2020,"cited_by_count":1},{"year":2019,"cited_by_count":4},{"year":2017,"cited_by_count":1},{"year":2016,"cited_by_count":4},{"year":2014,"cited_by_count":1},{"year":2013,"cited_by_count":3}],"updated_date":"2026-06-26T08:34:08.712188","created_date":"2025-10-10T00:00:00"}
