A multidimensional optimal stopping-time problem, with time-average criterion

DOI10.1002/OCA.4660110108MaRDI QIDQ3484747zbMATH OpenOpenAlexFDO

Authors M. Sun

Publication date 1990

Published in Optimal Control Applications \& Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/oca.4660110108

zbMATH Keywords

diffusion processGittins indextime-averageoptimal stopping policyoptimal stopping-time problem

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stochastic control (93E20)

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Cites work

• scientific article; zbMATH DE number 4160608 (Why is no real title available?)
• Iterative algorithms for solving undiscounted bellman equations

Cited in

(2)

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• On average cost stopping time problems

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