Title :
Optimal starting-stopping problems for Markov-Feller processes
Author :
Menaldi, Jose-Luis ; Robin, Maurice ; Sun, Min
Author_Institution :
Dept. of Math., Wayne State Univ., Detroit, MI, USA
Abstract :
By means of nested inequalities in semigroup form we give a characterization of the value functions of the starting-stopping problem for general Markov-Feller processes. Next, we consider two versions of constrained problems on the final state or on the final time. The optimal stopping problems have been extensively studied for diffusion processes, or other Markov processes, or for more general stochastic processes
Keywords :
Markov processes; functional analysis; optimisation; Markov-Feller processes; constrained problems; final state constraint; final time constraint; nested inequalities; optimal starting-stopping problems; semigroup form; value functions; Bibliographies; Diffusion processes; Markov processes; Mathematics; State-space methods; Stochastic processes; Sun; USA Councils;
Conference_Titel :
Southeastcon '96. Bringing Together Education, Science and Technology., Proceedings of the IEEE
Conference_Location :
Tampa, FL
Print_ISBN :
0-7803-3088-9
DOI :
10.1109/SECON.1996.510040