Results in stochastic control: optimal prediction problems and Markov decision processes

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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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Bibliographic Details
Main Author:	Pérez López, Iker
Format:	Thesis (University of Nottingham only)
Language:	English
Published:	2015
Subjects:	optimal prediction problems Markov decision process MDP stochastic control theory
Online Access:	https://eprints.nottingham.ac.uk/28395/

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