Optimal stopping model with unknown transition probabilities

MaRDI QIDQ5501005zbMATH OpenFDO

Authors Masayuki Horiguchi, A. B. Piunovskiy

Publication date 10 August 2015

zbMATH Keywords

dynamic programmingBayesian methodoptimal stoppingMarkov Decision Process (MDP)unknown transition matrices

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Dynamic programming in optimal control and differential games (49L20) Discrete-time control/observation systems (93C55) Optimal stochastic control (93E20)

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