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

MaRDI QIDQ551797zbMATH OpenFDO

Authors Yuanlie Lin, Congbin Wu, Boda Kang

Publication date 21 July 2011

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

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)

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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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