The Elimination algorithm for the problem of optimal stopping

 We present a new algorithm for solving the optimal stopping problem. The algorithm is based on the idea of elimination of states where stopping is nonoptimal and the corresponding correction of transition probabilities. The formal justification of this method is given by one of two presented theorems. The other theorem describes the situation when an aggregation of states is possible in the optimal stopping problem. Copyright Springer-Verlag Berlin Heidelberg 1999