RISK MINIMIZATION IN OPTIMAL STOPPING PROBLEM AND APPLICATIONS

DOI10.15807/JORSJ.46.342MaRDI QIDQ4444100zbMATH OpenOpenAlexFDO

Authors Yoshio Ohtsubo

Publication date 2003

Published in Journal of the Operations Research Society of Japan (Search for Journal in Brave)

Full work available at URL https://doi.org/10.15807/jorsj.46.342

zbMATH Keywords

random sequencethreshold valuestopping problem

Mathematics Subject Classification ID

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

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(13)

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• A minimization problem of the risk probability in first passage semi-Markov decision processes with loss rates
• The optimal stopping problem for \(S_n/n\) and its ramifications
• Upper and lower bounds of optimal stopping for a random sequence: the case of finite horizon
• scientific article; zbMATH DE number 4209223 (Why is no real title available?)
• On the values of optimal stopping problems for generalized averages of discrete random variables
• An elementary approach to optimal stopping problems for AR(1) sequences
• Applying the minimum risk criterion in stochastic recourse programs
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• Risk-Averse Stochastic Programming: Time Consistency and Optimal Stopping

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