Randomised rules for stopping problems

DOI10.1017/JPR.2020.43zbMath1452.60024OpenAlexW3083030745MaRDI QIDQ5139914

Matthew Zeng, David G. Hobson

Publication date: 11 December 2020

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: http://wrap.warwick.ac.uk/141554/1/WRAP-randomised-rules-stopping-problems-Hobson-2020.pdf

zbMATH Keywords

optimal stoppingstochastic choicerandomised stoppingPoisson process constrained optimal stopping

Mathematics Subject Classification ID

Management decision making, including multiple objectives (90B50) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items (1)

Solutions for Poissonian stopping problems of linear diffusions via extremal processes

Cites Work

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• Stochastic Choice and Revealed Perturbed Utility
• Random Expected Utility

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