A multidimensional optimal stopping-time problem, with time-average criterion

DOI10.1002/OCA.4660110108zbMath0704.93072OpenAlexW2401058758MaRDI QIDQ3484747

Min Sun

Publication date: 1990

Published in: Optimal Control Applications and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/oca.4660110108

zbMATH Keywords

diffusion processGittins indextime-averageoptimal stopping policyoptimal stopping-time problem

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40)

Cites Work

• Iterative algorithms for solving undiscounted bellman equations
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