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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.


Zugehörige Institution(en) am KIT Institut für Stochastik (STOCH)
Publikationstyp Hochschulschrift
Jahr 2016
Sprache Englisch
Identifikator DOI(KIT): 10.5445/IR/1000057843
URN: urn:nbn:de:swb:90-578439
KITopen ID: 1000057843
Verlag 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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