On optimal stopping of risk processes with regime switching
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Publication:4898893
DOI10.1515/dema-2013-0375zbMath1267.91042MaRDI QIDQ4898893
Adam Pasternak-Winiarski, Elżbieta Z. Ferenstein
Publication date: 3 January 2013
Published in: Demonstratio Mathematica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/dema-2013-0375
dynamic programming; optimal stopping; regime switching; risk process; Bayesian approach; disorder problem; multiple disorder
90C39: Dynamic programming
60G40: Stopping times; optimal stopping problems; gambling theory
90C40: Markov and semi-Markov decision processes
62L15: Optimal stopping in statistics
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