Value iteration methods in risk minimizing stopping problems
type: Item
instance of: scholarly article
title: Value iteration methods in risk minimizing stopping problems
zbMATH Open document ID: 1019.65012
DOI: 10.1016/S0377-0427(02)00721-5
author: Yoshio Ohtsubo
published in: Journal of Computational and Applied Mathematics
publication date: 2003-05-19T00:00:00Z
review text: The author investigates an optimal stopping problem with a discrete time Markov process where the criterion function is a threshold probability for the sequence of total rewards. He gives the fundamental properties of optimal values and optimal stopping times, whereas the optimal value and the optimal stopping time depend on the threshold value. He derives recursive equations for the optimal values and proves several properties of optimal values in relation to the threshold.
Mathematics Subject Classification ID: 65C40
Mathematics Subject Classification ID: 65C50
Mathematics Subject Classification ID: 60J22
Mathematics Subject Classification ID: 60G40
zbMATH DE Number: 1912284
zbMATH Keywords: optimal stopping
zbMATH Keywords: threshold probability
zbMATH Keywords: discrete Markov chain
zbMATH Keywords: value iteration
zbMATH Keywords: risk minimization
zbMATH Keywords: discrete time Markov process
reviewed by: Ilya S. Molchanov
MaRDI profile type: Publication
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description: scientific article; zbMATH DE number 1912284