OPTIMAL STOPPING PROBLEM ON FINITE MARKOV CHAIN
Hiroshi Hisano · Bulletin of informatics and cybernetics · 2002
This paper studies an optimal stopping problem over a finitehorizon Markov chain on a finite-state space. First of all, we derive a recursive formula for the total number of all stopping rules in m-state n-stage stopping problem. Next we show an optimal stopping rule and give a characterization of optimal value functions.