A loss minimization problem
K. K. Osipenko · Moscow University Computational Mathematics and Cybernetics · 2009
The optimal stopping problem is considered in the presence of random losses with decision making concerning non-recurrent involvement of an external financial-protection mechanism. The presence of an utility function determining the attitude of the decision-making person to a risk is taken into account. It is shown that, using the Bellman equation, optimal threshold functions can be constructed numerically and, for certain types of the utility function, such functions can even be constructed in an analytical form.