Results in stochastic control: optimal prediction problems and Markov decision processes
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 sto...
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| Format: | Thesis (University of Nottingham only) |
| Language: | English |
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2015
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| Online Access: | https://eprints.nottingham.ac.uk/28395/ |