This paper deals with the optimal stopping problem for Markov chains with non-discounted total payment. Paper [2] proves a sufficient condition: The value function of the optimal stopping problem for discrete finite Markov chains exists if the corresponding linear programming has a solution. This paper also shows that this condition is also necessary.
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谷建湘.有限马氏链最优停止的线性规划解. A LP Solution to the Problem of the Optimal Stopping Discrete Finite Markov Chains[J].国防科技大学学报,1990,12(3):45-49.