Document Type
Article
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 nal state or on the final time. The plan is as follows:
- Introduction
- Nested variational inequalities
- Solution of optimal starting-stopping problem
- Problems with constraints
References.
Disciplines
Numerical Analysis and Computation
Recommended Citation
J.-L. Menaldi, M. Robin and M. Sun, Optimal starting-stopping problems for Markov-Feller processes, Stochastics, 56 (1996), pp. 17-23. doi: 10.1080/17442509608834033
Comments
This is an Accepted Manuscript of an article published by Taylor & Francis in Stochastics: An International Journal of Probability and Stochastic Processes in 1996, available online: http://www.tandfonline.com/10.1080/17442509608834033.