Integro-differential equations associated with optimal stopping time of a piecewise-deterministic process

DOI10.1080/17442508508833356MaRDI QIDQ3704686zbMATH OpenOpenAlexFDO

Authors Yu-Chung Liao, Suzanne Lenhart

Publication date 1985

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442508508833356

zbMATH Keywords

optimal stopping problemvariational inequality

Mathematics Subject Classification ID

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

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Cites work

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• Average optimal policies in Markov decision drift processes with applications to a queueing and a replacement model
• Controlled jump processes
• Elliptic Partial Differential Equations of Second Order
• Fully nonlinear second order elliptic equations with large zeroth order coefficient
• Gradient bounds for solutions of degenerate variational inequalities
• Le problème de temps d'arret optimal déterministe et l'inéquation variationnelle du premier ordre associee
• Optimal control of piecewise deterministic markov process
• Optimal control of service in tandem queues
• Semilinear approximation technique for max-min type Hamilton-Jacobi equations over finite max-min index set

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• Finite Horizon Decision Timing with Partially Observable Poisson Processes
• On first-order quasi-variational inequalities with integral terms
• On Characterizing Integral Stopping Time Functionals on Diffusions as Solutions to Boundary Value Problems
• Approximation methods for piecewise deterministic Markov processes and their costs
• Switching control of piecewise-deterministic processes
• Numerical method for optimal stopping of piecewise deterministic Markov processes
• Optimality conditions for impulsive control of piecewise-deterministic processes
• Equqtions D'Hamilton-Jacobi Du Premier Ordre Avec Termes Intégro-Différentiels
• Uniqueness for integro-PDE in Hilbert spaces
• scientific article; zbMATH DE number 1983453 (Why is no real title available?)
• scientific article; zbMATH DE number 1174959 (Why is no real title available?)

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