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)

Full work available at URL https://doi.org/10.1016/0304-4149(90)90048-W

zbMATH Keywords

dynamic programmingoptimal stopping problemSnell envelopetwo-parameter Markov processtwo-parameter stochastic processes

Mathematics Subject Classification ID

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

Review text

This paper is concerned with the infinite horizon case of an optimal stopping problem for discrete time two-parameter stochastic processes with the objective to maximize the expected total discounted reward including running rewards, terminal rewards, and switching costs. Dynamic programming techniques including the Snell envelope are used to obtain optimality equations which yield implicit expressions for optimal tactics [cf. \textit{U. Krengel} and \textit{L. Sucheston}, J. Multivariate Anal. 11, 199-229 (1981; Zbl 0461.60059)]. These results are applied to a two-parameter Markov process.

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Cites work

• Arr�t Optimal sur le Plan
• Controlled Random Fields on an Oriented Graph
• scientific article; zbMATH DE number 194374 (Why is no real title available?)
• scientific article; zbMATH DE number 3272022 (Why is no real title available?)
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• 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 switching for two-parameter stochastic processes
• Dynamic programming for discrete-time finite-horizon optimal switching problems with negative switching costs
• Optimal starting–stopping and switching of a CIR process with fixed costs
• Two parameter optimal stopping and bi-Markov processes
• Discrete time multi-parameter optimal stopping problems with multiple plays and switching costs

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