On expected utility in optimal stopping of diffusions.
Jetlir DurajPublished in: Oper. Res. Lett. (2020)
Keyphrases
- expected utility
- optimal stopping
- brownian motion
- differential equations
- decision theoretic
- optimal control
- stochastic process
- utility function
- diffusion process
- decision theory
- decision makers
- poisson process
- heavy traffic
- pareto optimal
- vector valued
- stochastic processes
- influence diagrams
- queue length
- closed form solutions
- optimal strategy
- belief functions
- decision problems
- inventory level
- dynamical systems
- steady state
- linear programming
- multi objective
- artificial intelligence
- nash equilibrium
- stochastic model
- mathematical model
- sufficient conditions
- markov chain
- probability distribution
- decision making