Optimal Stopping Games for Markov Processes

Nonzero-Sum Games of Optimal Stopping for Markov Processes

Optimal Stopping of Markov Processes : Hilbert Space Theory , Approximation Algorithms , and an Application toPricing High { Dimensional Financial Derivatives 1

We develop a theory characterizing optimal stopping times for discrete-time ergodic Markov processes with discounted rewards. The theory di ers from prior work by its view of per-stage and terminal reward functions as elements of a certain Hilbert space. In addition to a streamlined analysis establishing existence and uniqueness of a solution to Bellman's equation, this approach provides an ele...

Optimal stopping of Markov processes: Hilbert space theory, approximation algorithms, and an application to pricing high-dimensional financial derivatives

We develop a theory characterizing optimal stopping times for discrete-time ergodic Markov processes with discounted rewards. The theory differs from prior work by its view of per-stage and terminal reward functions as elements of a certain Hilbert space. In addition to a streamlined analysis establishing existence and uniqueness of a solution to Bellman's equation, this approach provides an el...

Utilizing Generalized Learning Automata for Finding Optimal Policies in MMDPs

Multi agent Markov decision processes (MMDPs), as the generalization of Markov decision processes to the multi agent case, have long been used for modeling multi agent system and are used as a suitable framework for Multi agent Reinforcement Learning. In this paper, a generalized learning automata based algorithm for finding optimal policies in MMDP is proposed. In the proposed algorithm, MMDP ...

[hal-00325406, v1] A class of optimal stopping problems for Markov processes

Our purpose is to study a particular class of optimal stopping problems for Markov processes. We justify the value function convexity and we deduce that there exists a boundary function such that the smallest optimal stopping time is the first time when the Markov process passes over the boundary depending on time. Moreover, we propose a method to find the optimal boundary function.