Value iteration methods in risk minimizing stopping problems
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Publication:1872967
DOI10.1016/S0377-0427(02)00721-5zbMath1019.65012MaRDI QIDQ1872967
Publication date: 19 May 2003
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
optimal stopping; value iteration; risk minimization; threshold probability; discrete time Markov process; discrete Markov chain
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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