Value iteration methods in risk minimizing stopping problems
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.
scientific article; zbMATH DE number 1912284