The Value Function of Optimal Stopping for Markov Chains
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    Abstract:

    Optimal Stopping for Markov chains with infinite time has been discussed in this paper. The sufficient condition for the existence of the optimal stopping variable and the value function of the optimal stopping for Markov chains with infinite states has been obtained. The results show that the condition and calculation of the optimal stopping problem for Markov chains with finite states are equivalent to solving some linear programs.

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Gu Jianxiang. The Value Function of Optimal Stopping for Markov Chains[J]. Journal of National University of Defense Technology,1990,12(1):1-11.

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History
  • Received:November 17,1988
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  • Online: July 04,2015
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