Double optimal stopping of a risk process

DOI10.1080/17442500601084204zbMath1117.60045OpenAlexW2130165699MaRDI QIDQ3429338

Anna Karpowicz, Krzysztof J. Szajowski

Publication date: 30 March 2007

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442500601084204

zbMATH Keywords

dynamic programmingoptimal stoppingsemi-Markov processrisk reserve process

Mathematics Subject Classification ID

Special processes (60K99) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items (7)

A bilevel programming approach to double optimal stopping ⋮ Optimal stopping time on semi-Markov processes with finite horizon ⋮ Double Optimal Stopping in the Fishing Problem ⋮ An optimal double stopping rule for a buying-selling problem ⋮ Optimal filter rules for selling stocks in the emerging stock markets ⋮ On optimal stopping of risk processes with regime switching ⋮ Double optimal stopping times and dynamic pricing problem: description of the mathematical model

Cites Work

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• Optimal stopping of a risk process: model with interest rates
• OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMER-LUNDBERG MODEL
• On multiple stopping bales
• General optimal stopping theorems for semi-Markov processes
• An optimal stopping problem in risk theory
• Optimal Stopping of a Risk Reserve Process with Interest and Cost Rates
• On a Formulation of the Multiple"Disorder" Problem
• Optimal Sequential Procedures when More Than one Stop is Required

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