Optimal switching problems of tandem type

DOI10.2748/tmj/1178229105zbMath0525.93069OpenAlexW2026193903MaRDI QIDQ594839

Hiroaki Morimoto

Publication date: 1983

Published in: Tôhoku Mathematical Journal. Second Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2748/tmj/1178229105

zbMATH Keywords

optimal strategypenalty methodstopping timesgeneralized Snell envelopeswitching problem of tandem type

Mathematics Subject Classification ID

Cites Work

• Optimal stopping and a martingale approach to the penalty method
• Optimal Stochastic Switching and the Dirichlet Problem for the Bellman Equation
• Strong envelopes of stochastic processes and a penalty method^†
• Temps d'arrÊt optimal, théorie générale des processus et processus de Markov
• Optimal Control of Jump Processes
• Optimal Stopping Rules for Stochastic Processes with Continuous Parameter
• Dynamic Programming Conditions for Partially Observable Stochastic Systems
• Optimal control by means switchings
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