A Markov decision process with convex reward and its associated stopping game

DOI10.1080/02522667.1997.10699346zbMath0923.90139OpenAlexW2327605336MaRDI QIDQ4239538

Masami Yasuda

Publication date: 26 April 1999

Published in: Journal of Information and Optimization Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02522667.1997.10699346

zbMATH Keywords

Markov decision processsingular stochastic controltwo person zero-sum stopping game

Mathematics Subject Classification ID

Inventory, storage, reservoirs (90B05) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic games, stochastic differential games (91A15) Markov and semi-Markov decision processes (90C40)

Related Items (1)

On a decomposition result in a Dynkin stopping game

Cites Work

• Unnamed Item
• Dynamic programming and stochastic control
• On a randomized strategy in Neveu's stopping problem
• Stochastic optimization problems with nondifferentiable cost functionals
• Impulse Control of Brownian Motion
• Connections between Optimal Stopping and Singular Stochastic Control I. Monotone Follower Problems
• On the Optimality of $(s,S)$-Policies in Dynamic Inventory Models with Finite Horizon
• Production Smoothing and Inventory Control

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