Two-parameter optimal stopping problem with switching costs

DOI10.1016/0304-4149(90)90048-WMaRDI QIDQ917158zbMATH OpenFDO

Authors Teruo Tanaka

Publication date 1990

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

dynamic programmingoptimal stopping problemSnell envelopetwo-parameter stochastic processestwo-parameter Markov process

Mathematics Subject Classification ID

Markov processes (60J99) Stopping times; optimal stopping problems; gambling theory (60G40)

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Cites work

• scientific article; zbMATH DE number 194374 (Why is no real title available?)
• scientific article; zbMATH DE number 3272022 (Why is no real title available?)
• Arr�t Optimal sur le Plan
• Controlled Random Fields on an Oriented Graph
• Markov strategies for optimal control problems indexed by a partially ordered set
• Optimal stopping and supermartingales over partially ordered sets
• Stopping rules and tactics for processes indexed by a directed set
• Two parameter optimal stopping and bi-Markov processes
• Two-parameter Hunt processes and potential theory

Cited in

(5)

• Optimal starting–stopping and switching of a CIR process with fixed costs
• Optimal switching for two-parameter stochastic processes
• Discrete time multi-parameter optimal stopping problems with multiple plays and switching costs
• Two parameter optimal stopping and bi-Markov processes
• Dynamic programming for discrete-time finite-horizon optimal switching problems with negative switching costs

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