On optimal stopping of risk processes with regime switching

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

zbMATH Keywords

dynamic programming; optimal stopping; regime switching; risk process; Bayesian approach; disorder problem; multiple disorder

Mathematics Subject Classification ID

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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