The Optimal Stopping of a Markov Chain and Recursive Solution of Poisson and Bellman Equations

Isaac M. Sonin ()
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Isaac M. Sonin: University of North Carolina, Department of Mathematics

A chapter in From Stochastic Calculus to Mathematical Finance, 2006, pp 609-621 from Springer

Keywords: Markov Chain; Transition Matrix; Markov Decision Process; Minimal Solution; Bellman Equation (search for similar items in EconPapers)
Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-540-30788-4_30

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DOI: 10.1007/978-3-540-30788-4_30

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