Optimal models with maximizing probability of first achieving target value in the preceding stages

zbMATH Open1217.90157MaRDI QIDQ551797FDOQ551797

Authors: Yuanlie Lin, Congbin Wu, Boda Kang 

Publication date: 21 July 2011

Published in: Science in China. Series A (Search for Journal in Brave)

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zbMATH Keywords

Markov decision processesprobability criterionfirst achieving target valueminimizing risk

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Markov and semi-Markov decision processes (90C40)

Cited In (3)

• Time consistent dynamic risk measures
• Maximizing the probability of attaining a target prior to extinction
• Optimization models for the first arrival target distribution function in discrete time

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