RISK MINIMIZATION IN OPTIMAL STOPPING PROBLEM AND APPLICATIONS

DOI10.15807/JORSJ.46.342zbMATH Open1044.62086OpenAlexW2129585867MaRDI QIDQ4444100FDOQ4444100

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

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zbMATH Keywords

random sequencethreshold valuestopping problem

Mathematics Subject Classification ID

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

Cited In (13)

• A new method for computing asymptotic results in optimal stopping problems
• Title not available (Why is that?)
• Phase-Type Distributions and Optimal Stopping for Autoregressive Processes
• Value iteration methods in risk minimizing stopping problems
• 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
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• 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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