An example of optimal switching between a wiener process and a deterministic motion with a non-zero switching cost

DOI10.1007/BF01415065zbMath0817.60047OpenAlexW2072539108MaRDI QIDQ4698119

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Publication date: 27 July 1995

Published in: [https://portal.mardi4nfdi.de/entity/Q4289815 ZOR Zeitschrift f�r Operations Research Mathematical Methods of Operations Research] (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01415065

zbMATH Keywords

switching costoptimal policyoptimal switching between a Wiener process and a deterministic motion

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Optimal stochastic control (93E20)

Cites Work

• Optimal switching for two-parameter stochastic processes
• Stochastic control of two-parameter processes application:the two-armed bandit problem
• Unnamed Item

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