Results in stochastic control: optimal prediction problems and Markov decision processes
Pérez López, Iker (2015) Results in stochastic control: optimal prediction problems and Markov decision processes. PhD thesis, University of Nottingham.
The following thesis is divided in two main topics. The first part studies variations of optimal prediction problems introduced in Shiryaev, Zhou and Xu (2008) and Du Toit and Peskir (2009) to a randomized terminal-time set up and different families of utility measures. The work presents optimal stopping rules that apply under different criteria, introduces a numerical technique to build approximations of stopping boundaries for fixed terminal time problems and suggest previously reported stopping rules extend to certain generalizations of measures.
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