Central limit theorem for the estimator of the value of an optimal stopping problem

DOI10.1007/BF02595404zbMath1069.62059OpenAlexW2089638060MaRDI QIDQ2387145

Tomás Prieto-Rumeau

Publication date: 1 September 2005

Published in: Test (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02595404

zbMATH Keywords

perturbation techniquesasymptotic normality

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Central limit and other weak theorems (60F05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)

Cites Work

• Nonstationary Markov decision problems with converging parameters
• Statistical inference for a finite optimal stopping problem with unknown transition probabilities
• Statistical Methods in Markov Chains
• Learning algorithms for Markov decision processes
• Estimation and control in Markov chains
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