Sequential entry and exit decisions with an ergodic performance criterion

DOI10.1080/17442500600715840zbMath1127.93061OpenAlexW2010128022MaRDI QIDQ5485918

Anne Laure Bronstein, Mihail Zervos

Publication date: 4 September 2006

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442500600715840

zbMATH Keywords

variational inequalitiesimpulse stochastic controllong-term average criterionalmost sure optimalityergodic stochastic control

Mathematics Subject Classification ID

Strong limit theorems (60F15) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items (3)

A class of solvable multiple entry problems with forced exits ⋮ The explicit solution to a sequential switching problem with non-smooth data ⋮ BUY-LOW AND SELL-HIGH INVESTMENT STRATEGIES

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Singular ergodic control for multidimensional Gaussian processes
• A model for investment decisions with switching costs.
• Pathwise Optimality in Stochastic Control
• Optimality in probability and almost surely. the general scheme and a linear regulator problem
• On the compactness method in general ergodic impulsive control of markov processes
• Ergodic Control of Multidimensional Diffusions I: The Existence Results
• Optimality Conditions for the Average Cost per Unit Time Problem with a Diffusion Model
• Optimal Switching in an Economic Activity under Uncertainty
• Existence of Markov Controls and Characterization of Optimal Markov Controls
• Ergodic Boundary/Point Control of Stochastic Semilinear Systems
• Optimal Policies forn-Dimensional Singular Stochastic Control Problems. Part II: The Radially Symmetric Case. Ergodic Control
• The value function in ergodic control of diffusion processes with partial observations
• A class of singular stochastic control problems
• Pathwise Optimality for Benchmark Tracking
• A Model for Investments in the Natural Resource Industry with Switching Costs
• A Sequential Entry Problem with Forced Exits
• On risk-sensitive ergodic impulsive control of Markov processes

This page was built for publication: Sequential entry and exit decisions with an ergodic performance criterion