Probability maximizing approach to optimal stopping and its application to a disorder problem
- 1 January 1980
- journal article
- research article
- Published by Taylor & Francis in Stochastics
- Vol. 3 (1-4) , 61-71
- https://doi.org/10.1080/17442507908833137
Abstract
In this paper an optimal stopping problem is formulated, concerned with maximizing the probability of a certain event. Necessary and sufficient conditions for existence of an optimal stopping rule are obtained. The results are then applied to a version of the discrete-time “disorder problem”Keywords
This publication has 3 references indexed in Scilit:
- A selection problem associated to a renewal processPublished by Springer Nature ,2006
- On optimal stopping of a sequence of independent random variables — probability maximizing approachStochastic Processes and their Applications, 1978
- Markov ProcessesPublished by Springer Nature ,1969