On optimal stopping of risk processes with regime switching

DOI10.1515/DEMA-2013-0375zbMath1267.91042OpenAlexW953126402MaRDI QIDQ4898893

Adam Pasternak-Winiarski, Elżbieta Z. Ferenstein

Publication date: 3 January 2013

Published in: Demonstratio Mathematica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/dema-2013-0375

zbMATH Keywords

dynamic programmingoptimal stoppingregime switchingrisk processBayesian approachdisorder problemmultiple disorder

Mathematics Subject Classification ID

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

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