On average cost stopping time problems

DOI10.1007/BF01192139zbMath0729.60037OpenAlexW2067511385MaRDI QIDQ806159

Hiroaki Morimoto

Publication date: 1991

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01192139

zbMATH Keywords

Gittins indexexistence of the optimal solutionsstopping time problems

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items (4)

A stochastic representation theorem with applications to optimization and obstacle problems. ⋮ Perturbation methods in optimal stopping with average cost criterion ⋮ Ergodic control of reflected diffusions with jumps ⋮ Two-Armed Restless Bandits with Imperfect Information: Stochastic Control and Indexability

Cites Work

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• Long-term average cost control problems for continuous time Markov processes: A survey
• Gittins indices in the dynamic allocation problem for diffusion processes
• An optimal stopping time problem with time average cost in a bounded interval
• Optimal switching for alternating processes
• On ergodic impulsive control problems
• Dynkin games and martingale methods
• On Some Impulse Control Problems with Long Run Average Cost
• Temps d'arrÊt optimal, théorie générale des processus et processus de Markov

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