Optimal Stopping for a Markov Process: : A New Characterisation of the Optimal Policy

The optimal stopping problem is concerned with finding an optimal policy to stop a stochastic process in order to maximize the expected return. This problem is critical in stochastic control and can be found in many different fields, such as ...

• Study the standard and regenerative optimal stopping problems.
• Develop a new reinforcement learning method to solve the optimal stopping problems.
• Incorporate the structural properties of optimal stopping into the algorithm.
• ...

Consider a player who can probe a sequence of n independent random variables X1, . . . , Xn with known distributions. After observing (the realized value of) Xi, the player needs to decide whether to stop and earn reward Xi, or reject the reward and ...

A multicriteria optimal stopping model is discussed in a stochastic and fuzzy environment. The randomness and fuzziness are evaluated by expectations and scalarization functions, respectively. Pareto optimal stopping times are given for the model, by ...