Value iteration methods in risk minimizing stopping problems

DOI10.1016/S0377-0427(02)00721-5zbMath1019.65012MaRDI QIDQ1872967

Yoshio Ohtsubo

Publication date: 19 May 2003

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

zbMATH Keywords

optimal stoppingvalue iterationrisk minimizationthreshold probabilitydiscrete time Markov processdiscrete Markov chain

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Numerical analysis or methods applied to Markov chains (65C40) Stopping times; optimal stopping problems; gambling theory (60G40)

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Cites Work

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