{
  "id": "1703.09509",
  "version": "v1",
  "published": "2017-03-28T11:26:31.000Z",
  "updated": "2017-03-28T11:26:31.000Z",
  "title": "Partially Observable Risk-Sensitive Stopping Problems in Discrete Time",
  "authors": [
    "Nicole Bäuerle",
    "Ulrich Rieder"
  ],
  "journal": "Modern trends of controlled stochastic processes: Theory and Applications, vol.II (A.B. Piunovskiy ed). Luniver Press, 12-31, 2015",
  "categories": [
    "math.OC",
    "math.PR"
  ],
  "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.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2017-03-28T11:26:31.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "60J27",
      "90C40"
    ],
    "keywords": [
      "partially observable risk-sensitive stopping problems",
      "discrete time",
      "infinite time horizon",
      "general risk-sensitive optimization criterion",
      "bayesian risk-sensitive house selling problem"
    ],
    "tags": [
      "journal article"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable"
    }
  }
}