Optimal stopping problem with a vector-valued reward function

DOI10.1080/01630563.2013.858051MaRDI QIDQ4979798zbMATH OpenOpenAlexFDO

Authors Cloud Makasu

Publication date 19 June 2014

Published in Numerical Functional Analysis and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/01630563.2013.858051

zbMATH Keywords

scalarization methodgeometric Brownian motionsvector-valued optimal stopping problem

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15) Multiobjective variational problems, Pareto optimality, applications to economics, etc. (58E17)

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Cites work

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• A best-choice problem with multiple selectors
• Cooperative Stopping Rules in Multivariate Problems
• On optimal timing of investment when cost components are additive and follow geometric diffusions
• Optimal Sequential Procedures when More Than one Stop is Required
• Optimal cooperative stopping rules for maximization of the product of the expected stopped values
• Optimal multivariate stopping rules
• Optimal time to invest when the price processes are geometric Brownian motions
• Theory of multiobjective optimization

Cited in

(7)

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• Pareto optimality in a bicriterion optimal stopping problem
• Optimality in multi-person stopping problem with general rewards
• scientific article; zbMATH DE number 4100305 (Why is no real title available?)
• Infinite horizon stopping problems with (nearly) total reward criteria
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