Partially observed optimal stopping problem for discrete-time Markov processes

DOI10.1007/s10288-016-0337-8zbMath1374.60128arXiv1602.04609OpenAlexW2283643534MaRDI QIDQ1680763

François Dufour, Christophe Nivot, Benoîte De Saporta

Publication date: 16 November 2017

Published in: 4OR (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1602.04609

zbMATH Keywords

dynamic programmingoptimal stoppingerror boundquantizationMarkov chainnumerical approximationpartial observations

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Discrete-time Markov processes on general state spaces (60J05) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items

Optimal stopping time on semi-Markov processes with finite horizon ⋮ Change-point detection for piecewise deterministic Markov processes

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