On Optimal Stopping of Random Sequences Modulated by Markov Chain
Ernst L'vovich Presman, Isaac Mikhailovich Sonin · Theory of Probability and Its Applications · 2010
This paper has two main goals: first, to describe a new class of optimal stopping (OS) problems for which the solutions can be found either in an explicit form, or in a finite number of steps, and second, to demonstrate the potential of the state elimination algorithm developed by one of the authors earlier, for the problem of OS of a finite or countable Markov chain.