On optimal stopping of risk processes with regime switching

DOI10.1515/DEMA-2013-0375MaRDI QIDQ4898893zbMATH OpenOpenAlexFDO

Authors Adam Pasternak-Winiarski, Elżbieta Z. Ferenstein

Publication date 3 January 2013

Published in Demonstratio Mathematica (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivs 3.0 Unported

Full work available at URL https://doi.org/10.1515/dema-2013-0375

zbMATH Keywords

regime switchingdynamic programmingoptimal stoppingBayesian approachrisk processdisorder problemmultiple disorder

Mathematics Subject Classification ID

Dynamic programming (90C39) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15) Markov and semi-Markov decision processes (90C40)

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Cited in

(3)

• Optimal stopping problem for jump-diffusion processes with regime-switching
• scientific article; zbMATH DE number 1795916 (Why is no real title available?)
• Double optimal stopping of a risk process

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