论文信息 - On average cost stopping time problems - 字舞流文

On average cost stopping time problems

SummaryWe consider the stopping time problems whose costs are given by time average forms, a generalization of the Gittins index. We show the existence of the optimal solutions and give their approximation to these stopping time problems.

Hiroaki Morimoto | H. Morimoto

[1] M. Robin. On Some Impulse Control Problems with Long Run Average Cost , 1981 .

[2] B. Hanouzet. Convergence uniforme pour les itérés définissant la solution d'une inéquation quasi-variationnelle , 1978 .

[3] J. Bismut,et al. Temps d'arrÊt optimal, théorie générale des processus et processus de Markov , 1977 .

[4] M. Sun. An optimal stopping time problem with time average cost in a bounded interval , 1986 .

[5] On ergodic impulsive control problems , 1986 .

[6] M. Robin. Long-term average cost control problems for continuous time Markov processes: A survey , 1983 .

[7] A. Bensoussan,et al. Contrôle impulsionnel et inéquations quasi variationnelles , 1982 .

[8] H. Morimoto. Dynkin games and martingale methods , 1984 .

[9] H. Morimoto. Optimal switching for alternating processes , 1987 .

[10] I. Karatzas. Gittins Indices in the Dynamic Allocation Problem for Diffusion Processes , 1984 .