discipline 
MSc in
Mathematics

subject 
Optimal
Stopping

lecturers 
György Michaletzky, professor, Dept. of Probability Theory and
Statistics, N. Miklós
Arató, assoc. prof., Dept. of Probability Theory and Statistics, 
credits 
2 
period 
3 
curriculum 
Optimal stopping of a finite sequence of random variables (secretary problem and other related optimization problems). Bellmannequation for infinite sequences. Majorating supermartingales. Markov decision processes with finite statespace. Linear programming algorithm for finding the optimal solution. Policy improvement methods. Markov decision processes with continuous statespace. 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 