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arXiv · 1703.09509

Partially Observable Risk-Sensitive Stopping Problems in Discrete Time

Nicole Bäuerle·Ulrich Rieder
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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.

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Nicole Bäuerle, Ulrich Rieder. 2017-03-28. Partially Observable Risk-Sensitive Stopping Problems in Discrete Time. https://arxiv.org/abs/1703.09509

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