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

DOI10.1002/OCA.4660110108zbMATH Open0704.93072OpenAlexW2401058758MaRDI QIDQ3484747FDOQ3484747

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

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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)

Cites Work

• Title not available (Why is that?)
• Iterative algorithms for solving undiscounted bellman equations

Cited In (2)

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

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