Integro-differential equations associated with optimal stopping time of a piecewise-deterministic process
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Publication:3704686
DOI10.1080/17442508508833356zbMATH Open0582.60053OpenAlexW2060253892MaRDI QIDQ3704686FDOQ3704686
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
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Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stochastic control (93E20)
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Cited In (15)
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- Switching control of piecewise-deterministic processes
- Impulsive control of piecewise-deterministic processes with long run average cost
- Approximation methods for piecewise deterministic Markov processes and their costs
- Approximations for optimal stopping of a piecewise-deterministic process
- On Characterizing Integral Stopping Time Functionals on Diffusions as Solutions to Boundary Value Problems
- On first-order quasi-variational inequalities with integral terms
- Optimality conditions for impulsive control of piecewise-deterministic processes
- Title not available (Why is that?)
- Finite Horizon Decision Timing with Partially Observable Poisson Processes
- Numerical method for optimal stopping of piecewise deterministic Markov processes
- Contingent claims valuation when the security price is a combination of an Itō process and a random point process
- Equqtions D'Hamilton-Jacobi Du Premier Ordre Avec Termes Intégro-Différentiels
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- Uniqueness for integro-PDE in Hilbert spaces
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