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Randomized strategies in controlled Markov sequences. (Russian) Zbl 0601.60040

An optimal stopping problem for a controlled Markov chain is considered. Both state and control spaces are assumed to be analytic sets. It is proved that under weak regularity assumptions on the reward function, the maximal expected reward in the class of randomized strategies and randomized stopping rules is the same as for the non-randomized ones.
Reviewer: T.Bojdecki

MSC:

60G40 Stopping times; optimal stopping problems; gambling theory
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