Two-parameter optimal stopping problem with switching costs
type: Item
instance of: scholarly article
title: Two-parameter optimal stopping problem with switching costs
zbMATH Open document ID: 0704.60041
DOI: 10.1016/0304-4149(90)90048-W
author: Teruo Tanaka
published in: Stochastic Processes and their Applications
publication date: 1990-01-01T00:00:00Z
review text: 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.
Mathematics Subject Classification ID: 60G40
Mathematics Subject Classification ID: 60J99
zbMATH DE Number: 4155576
zbMATH Keywords: dynamic programming
zbMATH Keywords: optimal stopping problem
zbMATH Keywords: two-parameter stochastic processes
zbMATH Keywords: Snell envelope
zbMATH Keywords: two-parameter Markov process
MaRDI profile type: Publication
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description: scientific article; zbMATH DE number 4155576