Optimal Stopping of Seasonal Observations and Projection of a Markov Chain

DOI10.1007/978-3-319-02069-3_25zbMath1402.60050OpenAlexW5310384MaRDI QIDQ4561950

Isaac M. Sonin

Publication date: 13 December 2018

Published in: Inspired by Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-02069-3_25

zbMATH Keywords

optimal stoppingMarkov chainelimination algorithmseasonal observations

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Stopping times; optimal stopping problems; gambling theory (60G40)

Cites Work

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• The elimination algorithm for the problem of optimal stopping
• The state reduction and related algorithms and their applications to the study of Markov chains, graph theory, and the optimal stopping problem
• Recursive Algorithm for the Fundamental/Group Inverse Matrix of a Markov Chain from an Explicit Formula
• On Optimal Stopping of Random Sequences Modulated by Markov Chain
• Technical Note—A Markov Chain Partitioning Algorithm for Computing Steady State Probabilities
• Regenerative Analysis and Steady State Distributions for Markov Chains

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