کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1156468 958833 2014 34 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Infinite horizon stopping problems with (nearly) total reward criteria
ترجمه فارسی عنوان
مشکلات متوقف شدن افق بی نهایت با معیارهای (تقریبا) مجموع پاداش
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات (عمومی)
چکیده انگلیسی

We study an infinite horizon optimal stopping Markov problem which is either undiscounted (total reward) or with a general Markovian discount rate. Using ergodic properties of the underlying Markov process, we establish the feasibility of the stopping problem and prove the existence of optimal and εε-optimal stopping times. We show the continuity of the value function and its variational characterisation (in the viscosity sense) under different sets of assumptions satisfied by large classes of diffusion and jump–diffusion processes. In the case of a general discounted problem we relax a classical assumption that the discount rate is uniformly separated from zero.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 124, Issue 12, December 2014, Pages 3887–3920
نویسندگان
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