Expected utility maximization of optimal stopping problems

DOI10.1016/S0377-2217(99)00072-7zbMath1112.91310OpenAlexW2006193020MaRDI QIDQ1971994

Alfred Müller

Publication date: 23 March 2000

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0377-2217(99)00072-7

zbMATH Keywords

Dynamic programmingDecision theoryOptimal stoppingExpected utility theory

Mathematics Subject Classification ID

Decision theory (91B06) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items (4)

Comparative statics effects independent of the utility function. When do we act the same way under risk? ⋮ Risk-sensitive stopping problems for continuous-time Markov chains ⋮ Optimal filter rules for selling stocks in the emerging stock markets ⋮ Risk-sensitive capacity control in revenue management

Cites Work

• Utility, probabilistic constraints, mean and variance of discounted rewards in Markov decision processes
• Unbounded behaviorally consistent stopping rules
• Optimal Selection from a Random Sequence with Learning of the Underlying Distribution
• Risk Aversion in the Small and in the Large
• Risk-Sensitive Markov Decision Processes
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