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This paper is concerned with a general utility of the optimal stopping problem for denumerable Markov chains. The validity of the one-step look ahead (OLA) stopping time is shown under a general utili...ty criteria. It is developed from the view points of the optimality and a "risk-averse" or "risk-seeking" characterization. The results are applied to the case of a exponential utility function and illustrated by a simple example.続きを見る
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