OPTIMAL STOPPING PROBLEM ON FINITE MARKOV CHAIN

نویسندگان

چکیده

برای دانلود باید عضویت طلایی داشته باشید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Optimal Stopping of Markov Chain and Three Abstract Optimization Problems

There is a well known connection between three problems related to Optimal Stopping of Markov Chain and the equality of three corresponding indices: the classical Gittins index in the Ratio Maximization Problem, the Kathehakis-Veinot index in a Restart Problem, and Whittle index in a family of Retirement Problems. In [13] these three problems and these three indices were generalized in such a w...

متن کامل

On a simple optimal stopping problem

L.A. Shepp has posed aild analyzed the problem of optimal random drawinp with Jut replacement from an urn containing predetermined numbers of plus and minus balls. ;Here Shepp’s results are extended by improving the bounds on value; of penturbeu urns, deriving an exact algorithm for the urn values and computing the stopping boundary for urns of u-, tn 200 balls.

متن کامل

On the Robust Optimal Stopping Problem

We study a robust optimal stopping problem with respect to a set P of mutually singular probabilities. This can be interpreted as a zero-sum controller-stopper game in which the stopper is trying to maximize its pay-off while an adverse player wants to minimize this payoff by choosing an evaluation criteria from P . We show that the upper Snell envelope Z of the reward process Y is a supermarti...

متن کامل

Undiscounted Markov Chain BSDEs to Stopping Times

We consider Backward Stochastic Differential Equations in a setting where noise is generated by a countable state, continuous time Markov chain, and the terminal value is prescribed at a stopping time. We show that, given sufficient integrability of the stopping time and a growth bound on the terminal value and BSDE driver, these equations admit unique solutions satisfying the same growth bound...

متن کامل

The Problem of Optimal Stopping

The problem of Optimal Stopping is of fundamental importance for sequential analysis, for the detection of signals in a background of noise, and also for pricing American-type options in the modern theory of finance. We shall review in this talk two relatively recent approaches to this problem: the deterministic or “pathwise” approach of Davis & Karatzas (1994), and the “integral representation...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: Bulletin of informatics and cybernetics

سال: 2002

ISSN: 0286-522X

DOI: 10.5109/13512