Value iteration methods in risk minimizing stopping problems

DOI10.1016/S0377-0427(02)00721-5zbMath1019.65012MaRDI QIDQ1872967

Yoshio Ohtsubo

Publication date: 19 May 2003

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

zbMATH Keywords

optimal stopping; value iteration; risk minimization; threshold probability; discrete time Markov process; discrete Markov chain

Mathematics Subject Classification ID

60J22: Computational methods in Markov chains

65C40: Numerical analysis or methods applied to Markov chains

60G40: Stopping times; optimal stopping problems; gambling theory

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