Optimal stopping problems with constraints for continuous-time general Markov processes

DOI10.1051/COCV/2025035MaRDI QIDQ6956056zbMATH OpenFDO

Authors Héctor Jasso-Fuentes, Fidel Vásquez-Rojas

Publication date 21 July 2025

Published in European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1051/COCV/2025035

zbMATH Keywords

continuous-time Markov processesdiscrete-time optimal controldynamic programmingoptimal stopping

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Stopping times; optimal stopping problems; gambling theory (60G40) Discrete-time Markov processes on general state spaces (60J05) Continuous-time Markov processes on general state spaces (60J25) Optimal stochastic control (93E20)

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