Expected utility maximization of optimal stopping problems

DOI10.1016/S0377-2217(99)00072-7MaRDI QIDQ1971994zbMATH OpenOpenAlexFDO

Authors Alfred Müller

Publication date 23 March 2000

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0377-2217(99)00072-7

zbMATH Keywords

Decision theoryDynamic programmingExpected utility theoryOptimal stopping

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Decision theory (91B06)

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Cites work

• scientific article; zbMATH DE number 48691 (Why is no real title available?)
• scientific article; zbMATH DE number 977755 (Why is no real title available?)
• scientific article; zbMATH DE number 3342731 (Why is no real title available?)
• scientific article; zbMATH DE number 3369559 (Why is no real title available?)
• Optimal Selection from a Random Sequence with Learning of the Underlying Distribution
• Risk Aversion in the Small and in the Large
• Risk-Sensitive Markov Decision Processes
• Unbounded behaviorally consistent stopping rules
• Utility, probabilistic constraints, mean and variance of discounted rewards in Markov decision processes

Cited in

(10)

• On determining the importance of attributes with a stopping problem
• Risk-sensitive capacity control in revenue management
• On expected utility in optimal stopping of diffusions
• Comparative statics effects independent of the utility function. When do we act the same way under risk?
• Reservation Prices in Optimal Stopping
• Utility Maximization with Discretionary Stopping
• scientific article; zbMATH DE number 1379223 (Why is no real title available?)
• Risk-sensitive stopping problems for continuous-time Markov chains
• Optimal Stopping Under Probability Distortions
• Optimal filter rules for selling stocks in the emerging stock markets

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