discipline

MSc in Mathematics

subject

Optimal Stopping

lecturers

György Michaletzky, professor, Dept. of Probability Theory and Statistics, Institute of Mathematics

N. Miklós Arató, assoc. prof., Dept. of Probability Theory and Statistics, Institute of Mathematics

credits

2

period

3

curriculum

Optimal stopping of a finite sequence of random variables (secretary problem and other related optimization problems). Bellmann-equation for infinite sequences. Majorating supermartingales. Markov decision processes with finite state-space. Linear programming algorithm for finding the optimal solution. Policy improvement methods. Markov decision processes with continuous state-space. Control of several sequences of stochastic processes. One- and multiarmed bandit problems.

 

literature

Suggested readings:

A. N. Sirjaev, Statistical Sequential Analysis, Amer Mathematical Society, 1973

 

form of tuition

Lectures

mode of assessment

oral exam