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.
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页码：534 / 542
页数：9
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