ON OPTIMAL STOPPING OF RANDOM SEQUENCES MODULATED BY MARKOV CHAIN

被引：0

作者：

Presman, E. L. ^{[1
]}

Sonin, I. M. ^{[1
,2
]}

机构：

[1] CEMI RAS, Moscow 117428, Russia

[2] Univ N Carolina, Dept Math, Charlotte, NC 28223 USA

来源：

THEORY OF PROBABILITY AND ITS APPLICATIONS | 2010年 / 54卷 / 03期

关键词：

Markov chain; optimal stopping; state elimination algorithm; seasonal observations;

D O I：

10.1137/S0040585X97984395

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

This paper has two main goals: first, to describe a new class of optimal stopping (OS) problems for which the solutions can be found either in an explicit form, or in a finite number of steps, and second, to demonstrate the potential of the state elimination algorithm developed by one of the authors earlier, for the problem of OS of a finite or countable Markov chain.

引用

页码：534 / 542

页数：9

共 50 条

[21] Finite Markov Chain Embedding for the Exact Distribution of Patterns in a Set of Random Sequences
Martin, Juliette
Regad, Leslie
Camproux, Anne-Claude
Nuel, Gregory
ADVANCES IN DATA ANALYSIS: THEORY AND APPLICATIONS TO RELIABILITY AND INFERENCE, DATA MINING, BIOINFORMATICS, LIFETIME DATA, AND NEURAL NETWORKS, 2010, : 171 - +
[22] Voting procedure on stopping games of Markov chain
Szajowski, K
Yasuda, M
STOCHASTIC MODELLING IN INNOVATIVE MANUFACTURING, 1997, 445 : 68 - 80
[23] UNDISCOUNTED MARKOV CHAIN BSDES TO STOPPING TIMES
Cohen, Samuel N.
JOURNAL OF APPLIED PROBABILITY, 2014, 51 (01) : 262 - 281
[24] OPTIMAL STOPPING PROBLEM FOR A MARKOV ADDITIVE PROCESS
FELDMAN, RM
OPERATIONS RESEARCH, 1975, 23 : B289 - B289
[25] OPTIMAL STOPPING PROBLEMS IN A STANDARD MARKOV PROCESS
ENGELBERT, A
MATHEMATISCHE NACHRICHTEN, 1976, 71 : 303 - 313
[26] Optimal stopping of Markov switching Levy processes
Pemy, Moustapha
STOCHASTICS-AN INTERNATIONAL JOURNAL OF PROBABILITY AND STOCHASTIC PROCESSES, 2014, 86 (02) : 341 - 369
[27] Optimal stopping of Gauss-Markov bridges
Azze, Abel
D'Auria, Bernardo
Garcia-Portugues, Eduardo
ADVANCES IN APPLIED PROBABILITY, 2025, 57 (01) : 1 - 34
[28] OPTIMAL STOPPING PROBLEMS FOR SOME MARKOV PROCESSES
Cisse, Mamadou
Patie, Pierre
Tanre, Etienne
ANNALS OF APPLIED PROBABILITY, 2012, 22 (03): : 1243 - 1265
[29] THEORY OF OPTIMAL RULES FOR STOPPING OF MARKOV PROCESSES
ENGELBERT, GY
TEORIYA VEROYATNOSTEI I YEYE PRIMENIYA, 1973, 18 (02): : 312 - 320
[30] Quantum random number generators, extraction of provably random bit sequences from Markov chain trajectories
Arbekov, I. M.
Molotkov, S. N.
PHYSICS-USPEKHI, 2024, 67 (09) : 919 - 937

← 1 2 3 4 5 →