Some results on optimal stopping under phase-type distributed implementation delay
DOI10.1007/s00186-019-00694-6zbMath1453.60092OpenAlexW3000186248MaRDI QIDQ784790
Publication date: 3 August 2020
Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00186-019-00694-6
diffusionoptimal stoppingMarkov chainresolvent operatorpayoff functionphase-type distributionsimplementation delayCoxian distributionstrong Markov processtime to build
Continuous-time Markov processes on general state spaces (60J25) Stopping times; optimal stopping problems; gambling theory (60G40) Transition functions, generators and resolvents (60J35)
Related Items (2)
Cites Work
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