Optimal consumption and arbitrage in incomplete, finite state security markets.
Hiroshi ShirakawaHiromichi KassaiPublished in: Ann. Oper. Res. (1993)
Keyphrases
- finite state
- markov chain
- average cost
- action sets
- markov decision processes
- model checking
- policy iteration algorithm
- information security
- stationary policies
- multistage
- access control
- optimal policy
- stock price
- financial markets
- context free
- dynamic programming
- n gram
- optimal solution
- optimal control
- electronic commerce
- policy iteration
- joint optimization
- search space