Optimal switching for two-parameter stochastic processes

DOI10.1016/0304-4149(91)90075-NzbMath0742.60046OpenAlexW2038982479MaRDI QIDQ1176534

Teruo Tanaka

Publication date: 25 June 1992

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

Full work available at URL: https://doi.org/10.1016/0304-4149(91)90075-n

zbMATH Keywords

optimal switchingstopping problemstochastic process with 2-dimensional parameter

Mathematics Subject Classification ID

Random fields (60G60) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items (2)

The system of quasi-variational inequalities attached to the two-armed bandit problem ⋮ An example of optimal switching between a wiener process and a deterministic motion with a non-zero switching cost

Cites Work

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• Two-parameter optimal stopping problem with switching costs
• Markov strategies for optimal control problems indexed by a partially ordered set
• Optimal switching for alternating processes
• Optional sampling of submartingales indexed by partially ordered sets
• Stochastic integrals in the plane
• Optimal stopping and a martingale approach to the penalty method
• Two parameter optimal stopping and bi-Markov processes
• Stochastic control of two-parameter processes application:the two-armed bandit problem

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