Value iteration methods in risk minimizing stopping problems

We consider an optimal stopping problem with a discrete time Markov process where the criterion function is a threshold probability. We give the fundamental properties of optimal values and optimal stopping times, but the optimal value and the optimal stopping time depend upon the threshold value. W...

Ausführliche Beschreibung

Gespeichert in:

Bibliographische Detailangaben
Veröffentlicht in:	Journal of computational and applied mathematics 2003-03, Vol.152 (1), p.427-439
1. Verfasser:	Ohtsubo, Yoshio
Format:	Artikel
Sprache:	eng
Schlagworte:	Applied sciences Decision theory. Utility theory Exact sciences and technology Markov processes Mathematics Operational research and scientific management Operational research. Management science Optimal stopping problem Probability and statistics Probability theory and stochastic processes Risk minimizing Risk theory. Actuarial science Sciences and techniques of general use Value iteration
Online-Zugang:	Volltext
Tags:	Tag hinzufügen Keine Tags, Fügen Sie den ersten Tag hinzu!

Beschreibung
Zusammenfassung:	We consider an optimal stopping problem with a discrete time Markov process where the criterion function is a threshold probability. We give the fundamental properties of optimal values and optimal stopping times, but the optimal value and the optimal stopping time depend upon the threshold value. We also obtain the properties of optimal values with respect to the threshold value, and a value iteration method is given.
ISSN:	0377-0427 1879-1778
DOI:	10.1016/S0377-0427(02)00721-5