Identities for stopped markov chains and their applications

DOI10.1002/ASM.3150020404MaRDI QIDQ3756251zbMATH OpenOpenAlexFDO

Authors Mohamed Abdel-Hameed

Publication date 1986

Published in Applied Stochastic Models and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/asm.3150020404

zbMATH Keywords

branching processesoptimal stopping problemsmartingale identities

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80) Stopping times; optimal stopping problems; gambling theory (60G40)

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Cited in

(3)

• Martingale generating functions for Markov chains
• An optimal ordering policy of a system subject to shocks
• Stopping Probabilities for Patterns in Markov Chains

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