Optimal stopping of a piecewise-deterministic markov process

DOI10.1080/17442508608833426MaRDI QIDQ3750724zbMATH OpenOpenAlexFDO

Authors Ulrich S. Gugerli

Publication date 1986

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442508608833426

zbMATH Keywords

dynamic programmingoptimal stopping problemsequential methodsnonstandard Markov processes

Mathematics Subject Classification ID

Markov processes (60J99) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stochastic control (93E20)

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Cites work

• Point processes and queues. Martingale dynamics
• The Representation of Martingales of Jump Processes

Cited in

(31)

• Momentum liquidation under partial information
• An Optimal Stopping Problem Arising from a Decision Model with Many Agents
• On Optimal Multiple Stopping of Markov Sequences
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• Optimal stopping for partially observed piecewise-deterministic Markov processes
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• Compound Poisson disorder problem with uniformly distributed disorder time
• scientific article; zbMATH DE number 1144389 (Why is no real title available?)
• Optimal stopping for Markov processes and decreasing affine functions
• Optimal stopping with continuous control of piecewise deterministic Markov processes
• Switching control of piecewise-deterministic processes
• Adaptive Poisson disorder problem
• On some optimal stopping problems with constraint
• Impulsive control of piecewise-deterministic processes with long run average cost
• Value function and optimal rule on the optimal stopping problem for continuous-time Markov processes
• Sequential tracking of a hidden Markov chain using point process observations
• The optimal dividend problem in the dual model
• Approximations for optimal stopping of a piecewise-deterministic process
• Optimality conditions for impulsive control of piecewise-deterministic processes
• scientific article; zbMATH DE number 5066282 (Why is no real title available?)
• Optimal starting—stopping problems for markov–feller processes
• Compound Poisson disorder problem with general disorder prior density
• Integro-differential equations associated with optimal stopping time of a piecewise-deterministic process
• Finite Horizon Decision Timing with Partially Observable Poisson Processes
• An optimal stopping approach for the end-of-life inventory problem
• Numerical method for optimal stopping of piecewise deterministic Markov processes
• Asset liquidation under drift uncertainty and regime-switching volatility
• Piecewise deterministic Markov process -- recent results
• Optimal strategies for impulse control of piecewise deterministic Markov processes
• On optimal stopping for time-dependent gain function
• Optimal stopping for measure-valued piecewise deterministic Markov processes

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