Threshold probability of non-terminal type in finite horizon Markov decision processes
type: Item
instance of: scholarly article
title: Threshold probability of non-terminal type in finite horizon Markov decision processes
zbMATH Open document ID: 1231.90372
author: Akifumi Kira
author: Takayuki Ueno
author: Toshiharu Fujita
published in: Journal of Mathematical Analysis and Applications
publication date: 2011-10-21T00:00:00Z
review text: In the paper the problem of maximizing probabilities for given stage-wise targents is considered. The problem generalizes the standard threshold probability one in Markov decision processes. It is shown that the stated problem reduces to the case of a nonnegative-valued multiplicative criterion through an invariant imbedding technique. The authors derive a recursive formula for the optimal value function and an effective method for obtaining the optimal policies. The results of the paper can be used for business planning or portfolio trading strategies for avoiding business insolvency due to liquidity problems. An illustrative example is given.
reviewed by: Wiesław Kotarski
Mathematics Subject Classification ID: 90C40
Mathematics Subject Classification ID: 60J05
zbMATH DE Number: 5960944
zbMATH Keywords: Markov decision process
zbMATH Keywords: dynamic programming
zbMATH Keywords: threshold probability
zbMATH Keywords: nonnegative-valued multiplicative criterion
zbMATH Keywords: liquidity risk
MaRDI profile type: Publication
full work available at URL: j.jmaa.2011.08.006
OpenAlex ID: W2008129990
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DOI: 10.1016/J.JMAA.2011.08.006
description: scientific article; zbMATH DE number 5960944