Monotone stopping rules forstochastic processes in a semimartingale representation with applications

DOI10.1080/02331938908843504zbMath0691.60038OpenAlexW2070227788MaRDI QIDQ3033064

Uwe Jensen

Publication date: 1989

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331938908843504

zbMATH Keywords

partial informationoptimal stopping problemoptimality propertiesfirst entrance timeinfinitesimal-look-ahead-rulestochastic optimal stopping problems

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Applications of Markov renewal processes (reliability, queueing networks, etc.) (60K20)

Related Items (9)

Maximal wearing-out of a deteriorating system: An optimal stopping approach ⋮ Finite Horizon Decision Timing with Partially Observable Poisson Processes ⋮ A general method for finding the optimal threshold in discrete time ⋮ An effective method for the explicit solution of sequential problems on the real line ⋮ Author’s response ⋮ The monotone case approach for the solution of certain multidimensional optimal stopping problems ⋮ A general replacement model ⋮ Discussion on “An effective method for the explicit solution of sequential problems on the real line” by Sören Christensen ⋮ Optimal Control of a Partially Observable Failing System with Costly Multivariate Observations

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• [https://portal.mardi4nfdi.de/wiki/Publication:5646185 Th�orie des processus stochastiques g�n�raux applications aux surmartingales]

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