Sequential entry and exit decisions with an ergodic performance criterion
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Publication:5485918
DOI10.1080/17442500600715840zbMath1127.93061OpenAlexW2010128022MaRDI QIDQ5485918
Anne Laure Bronstein, Mihail Zervos
Publication date: 4 September 2006
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442500600715840
variational inequalitiesimpulse stochastic controllong-term average criterionalmost sure optimalityergodic stochastic control
Strong limit theorems (60F15) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40)
Related Items (3)
A class of solvable multiple entry problems with forced exits ⋮ The explicit solution to a sequential switching problem with non-smooth data ⋮ BUY-LOW AND SELL-HIGH INVESTMENT STRATEGIES
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