Two-parameter optimal stopping problem with switching costs
This paper is concerned with the infinite horizon case of an optimal stopping problem for discrete time two-parameter stochastic processes with the objective to maximize the expected total discounted reward including running rewards, terminal rewards, and switching costs. Dynamic programming techniques including the Snell envelope are used to obtain optimality equations which yield implicit expressions for optimal tactics [cf. \textit{U. Krengel} and \textit{L. Sucheston}, J. Multivariate Anal. 11, 199-229 (1981; Zbl 0461.60059)]. These results are applied to a two-parameter Markov process.
scientific article; zbMATH DE number 4155576