Optimal stopping of a piecewise-deterministic markov process

DOI10.1080/17442508608833426zbMath0611.60039OpenAlexW2327387105MaRDI QIDQ3750724

Ulrich S. Gugerli

Publication date: 1986

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508608833426

zbMATH Keywords

dynamic programmingoptimal stopping problemsequential methodsnonstandard Markov processes

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Markov processes (60J99)

Related Items (17)

Piecewise deterministic Markov process — recent results ⋮ Finite Horizon Decision Timing with Partially Observable Poisson Processes ⋮ Switching control of piecewise-deterministic processes ⋮ Momentum liquidation under partial information ⋮ Impulsive control of piecewise-deterministic processes with long run average cost ⋮ The Optimal Dividend Problem in the Dual Model ⋮ Adaptive Poisson disorder problem ⋮ Approximations for optimal stopping of a piecewise-deterministic process ⋮ Asset liquidation under drift uncertainty and regime-switching volatility ⋮ Compound Poisson disorder problem with uniformly distributed disorder time ⋮ Numerical method for optimal stopping of piecewise deterministic Markov processes ⋮ Optimal stopping for partially observed piecewise-deterministic Markov processes ⋮ Optimal stopping for measure-valued piecewise deterministic Markov processes ⋮ Optimality conditions for impulsive control of piecewise-deterministic processes ⋮ Optimal strategies for impulse control of piecewise deterministic Markov processes ⋮ An optimal stopping approach for the end-of-life inventory problem ⋮ Sequential tracking of a hidden Markov chain using point process observations

Cites Work

• Point processes and queues. Martingale dynamics
• The Representation of Martingales of Jump Processes

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