Construction of the Cost and Optimal Policies in a Game Problem of Stopping a Markov Process

DOI10.1137/1121016zbMath0366.60064OpenAlexW2015801148MaRDI QIDQ4142425

N. V. Ehlbakidze

Publication date: 1976

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/1121016

Mathematics Subject Classification ID

Discrete-time Markov processes on general state spaces (60J05) Stopping times; optimal stopping problems; gambling theory (60G40)

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On a randomized strategy in Neveu's stopping problem ⋮ Explicit optimal value for Dynkin's stopping game ⋮ Dynkin game under \(g\)-expectation in continuous time ⋮ Dynkin's games and Israeli options ⋮ Nonzero-sum games of optimal stopping for Markov processes ⋮ Neveu's martingale conditions and closedness in Dynkin stopping problem with a finite constraint

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