Integro-differential equations associated with optimal stopping time of a piecewise-deterministic process

DOI10.1080/17442508508833356zbMath0582.60053OpenAlexW2060253892MaRDI QIDQ3704686

Yu-Chung Liao, Suzanne M. Lenhart

Publication date: 1985

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508508833356

zbMATH Keywords

variational inequalityoptimal stopping problem

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items (12)

Equqtions D'Hamilton-Jacobi Du Premier Ordre Avec Termes Intégro-Différentiels ⋮ Unnamed Item ⋮ Finite Horizon Decision Timing with Partially Observable Poisson Processes ⋮ Switching control of piecewise-deterministic processes ⋮ Contingent claims valuation when the security price is a combination of an Itō process and a random point process ⋮ Impulsive control of piecewise-deterministic processes with long run average cost ⋮ Approximations for optimal stopping of a piecewise-deterministic process ⋮ Uniqueness for integro-PDE in Hilbert spaces ⋮ Numerical method for optimal stopping of piecewise deterministic Markov processes ⋮ On first-order quasi-variational inequalities with integral terms ⋮ Optimality conditions for impulsive control of piecewise-deterministic processes ⋮ Approximation methods for piecewise deterministic Markov processes and their costs

Cites Work

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• Semilinear approximation technique for max-min type Hamilton-Jacobi equations over finite max-min index set
• Average optimal policies in Markov decision drift processes with applications to a queueing and a replacement model
• Optimal control of piecewise deterministic markov process
• Optimal control of service in tandem queues
• Elliptic Partial Differential Equations of Second Order

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