On Optimal Stopping of Random Sequences Modulated by Markov Chain

DOI10.1137/S0040585X97984395zbMath1226.60059MaRDI QIDQ3082703

Isaac M. Sonin, Ernst L. Presman

Publication date: 16 March 2011

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

zbMATH Keywords

optimal stoppingMarkov chainseasonal observationsstate elimination algorithm

Mathematics Subject Classification ID

Dynamic programming (90C39) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Stopping times; optimal stopping problems; gambling theory (60G40) Markov and semi-Markov decision processes (90C40) Optimal stopping in statistics (62L15)

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Solution of Optimal Stopping Problem Based on a Modification of Payoff Function ⋮ Optimal Stopping of Seasonal Observations and Projection of a Markov Chain ⋮ An optimal stopping problem for jump diffusion logistic population model ⋮ A new approach to the solution of optimal stopping problem in a discrete time

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