Partially Observable Risk-Sensitive Stopping Problems in Discrete Time
Optimization and Control
2017-03-29 v1 Probability
Abstract
In this paper we consider stopping problems with partial observation under a general risk-sensitive optimization criterion for problems with finite and infinite time horizon. Our aim is to maximize the certainty equivalent of the stopping reward. We develop a general theory and discuss the Bayesian risk-sensitive house selling problem as a special example. In particular we are able to study the influence of the attitude towards risk of the decision maker on the optimal stopping rule.
Keywords
Cite
@article{arxiv.1703.09509,
title = {Partially Observable Risk-Sensitive Stopping Problems in Discrete Time},
author = {Nicole Bäuerle and Ulrich Rieder},
journal= {arXiv preprint arXiv:1703.09509},
year = {2017}
}