Explicit formula of optimal replacement under additive shock processes

DOI10.1016/0304-4149(80)90021-6zbMath0445.60039OpenAlexW2035130711MaRDI QIDQ1145414

Keigo Yamada

Publication date: 1980

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

Full work available at URL: https://doi.org/10.1016/0304-4149(80)90021-6

zbMATH Keywords

expected discounted costadditive shock processesexpected average costmartingale theory approach to jump processesoptimal machine replacement

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Related Items (7)

Boundary crossing optimal stopping and optimal bayesian sequential declsion procedures ⋮ Determining the control limit policy in a replacement model with linear restoration ⋮ Monotone stopping rules forstochastic processes in a semimartingale representation with applications ⋮ A general replacement model ⋮ A counting process approach to replacement models ⋮ Optimal replacement with non-monotone failure rates ⋮ Instandhaltungsmodelle - Eine Übersicht. II

Cites Work

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• Optimal stopping rules for jump processes
• Optimal replacement policy for the case where the damage process is a one-sided Levy process
• Optimal replacement for systems governed by Markov additive shock processes
• Multivariate point processes: predictable projection, Radon-Nikodym derivatives, representation of martingales
• Optimal replacement under additive damage and other failure models
• Optimal replacement under a general failure model
• Infinitesimal Look-Ahead Stopping Rules

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