Value iteration methods in risk minimizing stopping problems (Q1872967)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Value iteration methods in risk minimizing stopping problems |
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Value iteration methods in risk minimizing stopping problems (English)
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19 May 2003
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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.
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optimal stopping
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threshold probability
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discrete Markov chain
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value iteration
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risk minimization
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discrete time Markov process
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