On optimal stopping with nonlinear costs of observation

DOI10.1080/07474948808836151MaRDI QIDQ3834907zbMATH OpenOpenAlexFDO

Authors Albrecht Irle

Publication date 1988

Published in Sequential Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474948808836151

zbMATH Keywords

curved stopping boundariesdiscrete timenonlinear costs of observationoptimal stopping boundaryWiener process

Mathematics Subject Classification ID

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

Recommendations

• An asymptotic expansion for the optimal stopping boundary in problems with nonlinear costs of observation
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Cites work

• Distribution function inequalities for martingales
• Locally most powerful sequential tests
• On optimal stopping with concave costs of observation

Cited in

(12)

• On the strict value of the non-linear optimal stopping problem
• On undiscounted non-linear optimal multiple stopping
• An asymptotic expansion for the optimal stopping boundary in problems with nonlinear costs of observation
• Solving Problems of Optimal Stopping with Linear Costs of Observations
• Bounds for optimal stopping regions in problems with nonlinear costs of observations
• On optimal stopping with concave costs of observation
• scientific article; zbMATH DE number 4062278 (Why is no real title available?)
• scientific article; zbMATH DE number 4121142 (Why is no real title available?)
• Perturbation methods in optimal stopping with average cost criterion
• Optimal Stopping Under Partial Observation: Near-Value Iteration
• Optimal stopping for non-linear expectations. II
• Optimal stopping under adverse nonlinear expectation and related games

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