RISK MINIMIZATION IN OPTIMAL STOPPING PROBLEM AND APPLICATIONS
نویسندگان
چکیده
منابع مشابه
Risk Minimization in Optimal Stopping Problem and Applications
We consider an optimal stopping problem with a discrete time stochastic process where a criterion is a threshold probability. We first obtain the fundamental characterization of an optimal value and an optimal stopping time as the result of the classical optimal stopping problem, but the optimal value and the optimal stopping time depend upon a threshold value. We also give the properties of th...
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ژورنال
عنوان ژورنال: Journal of the Operations Research Society of Japan
سال: 2003
ISSN: 0453-4514,2188-8299
DOI: 10.15807/jorsj.46.342