Two-parameter optimal stopping problem with switching costs

DOI10.1016/0304-4149(90)90048-WzbMath0704.60041MaRDI QIDQ917158

Teruo Tanaka

Publication date: 1990

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

dynamic programmingoptimal stopping problemSnell envelopetwo-parameter stochastic processestwo-parameter Markov process

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Markov processes (60J99)

Related Items (2)

Optimal switching for two-parameter stochastic processes ⋮ Discrete time multi-parameter optimal stopping problems with multiple plays and switching costs

Cites Work

• Unnamed Item
• Unnamed Item
• Markov strategies for optimal control problems indexed by a partially ordered set
• Stopping rules and tactics for processes indexed by a directed set
• Two-parameter Hunt processes and potential theory
• Two parameter optimal stopping and bi-Markov processes
• Controlled Random Fields on an Oriented Graph
• Optimal stopping and supermartingales over partially ordered sets
• [https://portal.mardi4nfdi.de/wiki/Publication:3949750 Arr�t Optimal sur le Plan]

This page was built for publication: Two-parameter optimal stopping problem with switching costs