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Risk-Sensitive Stopping Problems for Continuous-Time Markov Chains

Popp, Anton

Abstract (englisch):
In this thesis we consider optimal stopping problems for continuous-time Markov chains, evaluated under a general class of utility functions. Besides the well known dynamic programming approach via HJB equation, these stopping problems are tackled by a discrete-time approach by using iteration type formulas like the reward iteration or the Bellman equation and by establishing a fixed-point equation. Under general utility functions, the structural properties of optimal stopping times are studied.

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Volltext §
DOI: 10.5445/IR/1000057843
Zugehörige Institution(en) am KIT Institut für Stochastik (STOCH)
Publikationstyp Hochschulschrift
Jahr 2016
Sprache Englisch
Identifikator urn:nbn:de:swb:90-578439
KITopen-ID: 1000057843
Verlag KIT, Karlsruhe
Umfang 207 S.
Abschlussart Dissertation
Fakultät Fakultät für Mathematik (MATH)
Institut Institut für Stochastik (STOCH)
Prüfungsdaten 13.07.2016
Referent/Betreuer Prof. N. Bäuerle
Schlagworte stopping problem, general utility, optimal stopping times
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