Palczewski, J and Stettner, L (2010) Finite horizon optimal stopping of time-discontinuous functionals with applications to impulse control with delay. SIAM Journal on Control and Optimization, 48 (8). 4874 - 4909. ISSN 0363-0129
Abstract
We study finite horizon optimal stopping problems for continuous-time Feller–Markov processes. The functional depends on time, state, and external parameters and may exhibit discontinuities with respect to the time variable. Both left- and right-hand discontinuities are considered. We investigate the dependence of the value function on the parameters, on the initial state of the process, and on the stopping horizon. We construct $\varepsilon$-optimal stopping times and provide conditions under which an optimal stopping time exists. We demonstrate how to approximate this optimal stopping time by solutions to discrete-time problems. Our results are applied to the study of impulse control problems with finite time horizon, decision lag, and execution delay.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Copyright, Publisher and Additional Information: | © 2010, Society For Industrial and Applied Mathematics. This is an author produced version of a paper published in SIAM Journal on Control and Optimization. Uploaded in accordance with the publisher's self-archiving policy. |
Keywords: | optimal stopping; Feller-Markov process; discontinuous functional; impulse control; decision lag; execution delay |
Dates: |
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Institution: | The University of Leeds |
Academic Units: | The University of Leeds > Faculty of Engineering & Physical Sciences (Leeds) > School of Mathematics (Leeds) > Applied Mathematics (Leeds) |
Depositing User: | Symplectic Publications |
Date Deposited: | 10 Jun 2014 08:28 |
Last Modified: | 25 Jan 2018 04:42 |
Published Version: | http://dx.doi.org/10.1137/080737848 |
Status: | Published |
Publisher: | Society For Industrial and Applied Mathematics |
Identification Number: | 10.1137/080737848 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:79162 |