On Optimal Multiple Stopping of Markov Sequences

DOI10.1137/S0040585X9797691XMaRDI QIDQ4954362zbMATH OpenOpenAlexFDO

Authors M. L. Nikolaev

Publication date 6 June 2000

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/s0040585x9797691x

zbMATH Keywords

Markov sequencemutiple stopping ruleoptimal stopping

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)

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• Construction of Nash equilibrium based on multiple stopping problem in multi-person game
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• The accessibility and multiple filtration structure for discrete time multiparameter optimal multiple stopping problems
• An optimal sequential procedure for a buying-selling problem with independent observations
• Continuity Properties of Optimal Multiple Stopping Value
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• A multiple optimal stopping rule for sums of independent random variables
• Nested variational inequalities and related optimal multiple startingstopping problems for symmetric Markov processes
• On approximative solutions of multistopping problems

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