Some time-invariant stopping rule problems

DOI10.1080/02331939208843754MaRDI QIDQ4327884zbMATH OpenOpenAlexFDO

Authors Thomas S. Ferguson, James MacQueen

Publication date 13 June 1995

Published in Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02331939208843754

zbMATH Keywords

Markov decision problemoptimal stoppingoptimality equationstopping rule problemsstopping with payoff

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15) Markov and semi-Markov decision processes (90C40)

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Cites work

• A stopped Brownian motion formula
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• scientific article; zbMATH DE number 3560402 (Why is no real title available?)
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• Optimal Stopping When the Future is Discounted
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• Replacement of periodically inspected equipment. (An optimal optional stopping rule)
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Cited in

(11)

• An optimal stopping problem with finite horizon for sums of i.i.d. random variables
• Characterization of optimality in classes of ``truncatable stopping rules
• On taxed spectrally negative Lévy processes with draw-down stopping
• Optimal stopping rules for American and Russian options in a correlated random walk model
• scientific article; zbMATH DE number 3944962 (Why is no real title available?)
• Uniformly best invariant stopping rules
• scientific article; zbMATH DE number 2038136 (Why is no real title available?)
• Stopping the maximum of a correlated random walk, with cost for observation
• Lagrangean Methods and Optimal Stopping
• Maximizing the Expected Duration of Owning a Relatively Best Object in a Poisson Process with Rankable Observations
• A stopping rule for choosing the best of three coins

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