Finite Horizon Optimal Stopping of Time-Discontinuous Functionals with Applications to Impulse Control with Delay.
Jan PalczewskiLukasz StettnerPublished in: SIAM J. Control. Optim. (2010)
Keyphrases
- optimal stopping
- finite horizon
- infinite horizon
- optimal policy
- markov decision processes
- multistage
- optimal control
- brownian motion
- control system
- markov decision process
- average cost
- production system
- control strategy
- mathematical model
- long run
- non stationary
- higher order
- state space
- decision problems
- bayesian networks