Explicit optimal value for Dynkins stopping game

Explicit optimal value for Dynkins stopping game

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Article ID: iaor19962217
Country: United States
Volume: 22
Issue: 10/12
Start Page Number: 313
End Page Number: 324
Publication Date: Oct 1995
Journal: Mathematical and Computer Modelling
Authors:
Keywords: programming: dynamic, game theory
Abstract:

Under the One-step Look Ahead rule of Dynamic Programming, an explicit game value of Dynkin’s stopping problem for a Markov chain is obtained by using a potential operator. The conditon on the One-step rule could be extended to the k-step and infinity-step rule. The paper shall also decompose the game value as the sum of two explicit functions under these rules.

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