Partially observed optimal stopping problem for discrete-time Markov processes.
Benoîte de SaportaFrançois DufourChristophe NivotPublished in: 4OR (2017)
Keyphrases
- markov processes
- partially observed
- optimal stopping
- brownian motion
- stochastic processes
- stochastic process
- markov chain
- markov process
- finite horizon
- random fields
- continuous time markov chains
- non stationary
- differential equations
- probability distribution
- finite state
- optimal control
- optimal policy
- markov decision processes
- multistage
- dynamic programming