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An optimal stopping problem with a reward constraint.
Jérôme Detemple
Weidong Tian
Jie Xiong
Published in:
Finance Stochastics (2012)
Keyphrases
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optimal stopping
finite horizon
brownian motion
reinforcement learning
optimal policy
infinite horizon
markov decision processes
stochastic process
image processing
utility function
dynamical systems
reward function
stochastic processes