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

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