On average cost stopping time problems
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We consider the stopping time problems whose costs are given by time average forms, a generalization of the Gittins index. We show the existence of the optimal solutions and give their approximation to these stopping time problems.
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Cited in
(6)- An optimal stopping time problem with time average cost in a bounded interval
- A stochastic representation theorem with applications to optimization and obstacle problems.
- A multidimensional optimal stopping-time problem, with time-average criterion
- Perturbation methods in optimal stopping with average cost criterion
- Two-armed restless bandits with imperfect information: stochastic control and indexability
- Ergodic control of reflected diffusions with jumps
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