Identities for stopped markov chains and their applications

Mohamed Abdel‐Hameed

Applied Stochastic Models and Data Analysis, 1986, vol. 2, issue 4, 193-208

Abstract: In this paper we obtain identities for some stopped Markov chains. These identities give a unified approach to many problems in optimal stopping of a Markovian sequence, extinction probability of a Markovian branching process and martingale theory.

Date: 1986
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https://doi.org/10.1002/asm.3150020404

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Persistent link: https://EconPapers.repec.org/RePEc:wly:apsmda:v:2:y:1986:i:4:p:193-208

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