Infinite horizon stopping problems with (nearly) total reward criteria
From MaRDI portal
Publication:744226
DOI10.1016/j.spa.2014.07.009zbMath1390.60156arXiv1401.6905OpenAlexW2165546891WikidataQ59898433 ScholiaQ59898433MaRDI QIDQ744226
Łukasz Stettner, Jan Palczewski
Publication date: 6 October 2014
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1401.6905
infinite horizonoptimal stoppingtotal rewardgeneral Markovian discountingnon-uniformly ergodic Markov processes
Related Items
Impulse Control Maximizing Average Cost per Unit Time: A Nonuniformly Ergodic Case, A verification theorem for optimal stopping problems with expectation constraints, Ergodic impulse control with constraint: locally compact case, An algorithm based on an iterative optimal stopping method for Feller processes with applications to impulse control, perturbation, and possibly zero random discount problems
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Applied stochastic control of jump diffusions.
- Ergodicity and exponential \(\beta\)-mixing bounds for multidimensional diffusions with jumps
- Regularity of semigroups generated by Lévy type operators via coupling
- Exponential ergodicity of the solutions to SDE's with a jump noise
- Continuous-time stochastic control and optimization with financial applications
- On ergodic stopping and impulsive control problem for nonuniformly ergodic Markov processes
- On polynomial mixing bounds for stochastic differential equations
- On multidimensional Ornstein-Uhlenbeck processes driven by a general Lévy process
- Spectral theory and limit theorems for geometrically ergodic Markov processes
- Finite Horizon Optimal Stopping of Time-Discontinuous Functionals with Applications to Impulse Control with Delay
- Markov Chains and Stochastic Stability
- On the poisson equation and optimal stopping of ergodic markov processes
- On Some Impulse Control Problems with Long Run Average Cost
- Asymptotic evaluation of certain markov process expectations for large time, I
- Asymptotic evaluation of certain Markov process expectations for large time—III
- Large Deviations for Occupation Measures of Markov Processes: Discrete Time, Noncompact Case
- Foundations of Modern Probability
- Adaptive control of discrete time Markov processes by the large deviations method
- Strong feller property and irreducibility of diffusions with jumps
- Lévy Processes and Stochastic Calculus
- OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS
- On Subexponential Mixing Rate for Markov Processes
