Finite Horizon Optimal Stopping of Time-Discontinuous Functionals with Applications to Impulse Control with Delay
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Publication:3083248
DOI10.1137/080737848zbMath1218.60031OpenAlexW1967675942WikidataQ59903426 ScholiaQ59903426MaRDI QIDQ3083248
Jan Palczewski, Łukasz Stettner
Publication date: 21 March 2011
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: http://eprints.whiterose.ac.uk/79162/1/delay.pdf
Continuous-time Markov processes on general state spaces (60J25) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40)
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