An optimal stopping time problem with time average cost in a bounded interval

DOI10.1016/0167-6911(86)90076-9MaRDI QIDQ1085882zbMATH OpenOpenAlexFDO

Authors M. Sun

Publication date 1986

Published in Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0167-6911(86)90076-9

zbMATH Keywords

Dirichlet boundary conditionoptimal stopping problemvariational inequality

Mathematics Subject Classification ID

Variational inequalities (49J40) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stochastic control (93E20)

Review text

This paper deals with an optimal stopping problem of one dimensional diffusion y, with the cost defined by \[ J(\tau)=\lim_{T\to \infty}\inf (E\int^{\tau \wedge \sigma \wedge T}_{0}f(y(t))dt+\psi (y(\tau \wedge T))\chi_{(\tau <\sigma)})/E(\tau \wedge \sigma \wedge T), \] where \(\sigma\) is the exit time of y from [a,b]. Using a variational inequality with Dirichlet boundary condition, the author characterized the value function and obtained an optimal stopping policy.

Recommendations

• A multidimensional optimal stopping-time problem, with time-average criterion
• On average cost stopping time problems
• Optimal stopping time problem in a general framework
• Optimal stopping problems with restricted stopping times
• scientific article; zbMATH DE number 4121142
• scientific article; zbMATH DE number 3994660
• The optimal stopping problem revisited
• Bounds for a constrained optimal stopping problem
• On approximative solutions of optimal stopping problems

Cites work

• An Ergodic Control Problem for Reflected Diffusion with Jump
• Gittins indices in the dynamic allocation problem for diffusion processes
• scientific article; zbMATH DE number 3875117 (Why is no real title available?)
• scientific article; zbMATH DE number 3878825 (Why is no real title available?)
• scientific article; zbMATH DE number 3682527 (Why is no real title available?)
• scientific article; zbMATH DE number 3751685 (Why is no real title available?)
• scientific article; zbMATH DE number 3773426 (Why is no real title available?)
• scientific article; zbMATH DE number 3552368 (Why is no real title available?)
• scientific article; zbMATH DE number 3638998 (Why is no real title available?)
• Long-term average cost control problems for continuous time Markov processes: A survey
• On impulsive control with long run average cost criterion
• On Some Impulse Control Problems with Long Run Average Cost
• Optimal Adaptive Control of Linear-Quadratic-Gaussian Systems
• Optimal adaptive controllers for unknown Markov chains
• Singular control problems in bounded intervals

Cited in

(8)

• Iterative algorithms for solving undiscounted bellman equations
• scientific article; zbMATH DE number 3884849 (Why is no real title available?)
• A multidimensional optimal stopping-time problem, with time-average criterion
• A maximal inequality for stochastic convolution integrals on hilbert spaces and space-time regularity of linear stochastic partial differential equations
• Singular control problems in bounded intervals
• scientific article; zbMATH DE number 4105971 (Why is no real title available?)
• Perturbation methods in optimal stopping with average cost criterion
• On average cost stopping time problems

This page was built for publication: An optimal stopping time problem with time average cost in a bounded interval

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1085882)