On ergodic stopping and impulsive control problem for nonuniformly ergodic Markov processes
type: Item
instance of: scholarly article
title: On ergodic stopping and impulsive control problem for nonuniformly ergodic Markov processes
zbMATH Open document ID: 0658.60073
DOI: 10.1007/BF01448193
published in: Applied Mathematics and Optimization
publication date: 1989-01-01T00:00:00Z
review text: Optimal stopping and impulse control problems with a long run average cost functional for ergodic Markov processes are considered. It is assumed that the transition semigroup converges uniformly on compact sets to a unique invariant measure, as time tends to infinity. This ergodicity assumption is weaker than the one usually made, but instead, other rather restrictive and complicated assumptions on the process and on the admissible stopping rules are imposed. It is proven that the value function is continuous and the optimal rules are characterized.
Mathematics Subject Classification ID: 60G40
Mathematics Subject Classification ID: 93E20
zbMATH DE Number: 4076215
zbMATH Keywords: Optimal stopping
zbMATH Keywords: impulse control problems
zbMATH Keywords: ergodic Markov processes
zbMATH Keywords: invariant measure
author: Łukasz Stettner
reviewed by: Tomasz Bojdecki
MaRDI profile type: Publication
cites work: Q5342182
cites work: Q4057847
cites work: On Some Impulse Control Problems with Long Run Average Cost
cites work: Q3914255
cites work: On impulsive control with long run average cost criterion
cites work: On the poisson equation and optimal stopping of ergodic markov processes
cites work: On ergodic impulsive control problems
cites work: Strong envelopes of stochastic processes and a penalty method†
cites work: Q3308787
full work available at URL: https://doi.org/10.1007/bf01448193
OpenAlex ID: W404135908
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description: scientific article; zbMATH DE number 4076215