Stochastic Target Hitting Time and the Problem of Early Retirement

DOI10.1109/TAC.2004.824469zbMath1366.91136MaRDI QIDQ5273712

L. Spanjers, Yuanlie Lin, Kang Boda, Jerzy A. Filar

Publication date: 12 July 2017

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Mathematics Subject Classification ID

93E20: Optimal stochastic control

90C40: Markov and semi-Markov decision processes

91G10: Portfolio theory

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