Multiobjective Stopping Problem for Discrete-Time Markov Processes: Convex Analytic Approach
نویسندگان
چکیده
منابع مشابه
Multiobjective Stopping Problem for Discrete-time Markov Processes: Convex Analytic Approach
The purpose of this paper is to study an optimal stopping problem with constraints for a Markov chain with general state space by using the convex analytic approach. The costs are assumed to be nonnegative. Our model is not assumed to be transient or absorbing and the stopping time does not necessarily have a finite expectation. As a consequence, the occupation measure is not necessarily finite...
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The convex analytic approach which is dual, in some sense, to dynamic programming, is useful for the investigation of multicriteria control problems. It is well known for discrete time models, and the current paper presents similar results for the continuous time case. Namely, we define and study the space of occupation measures, and apply the abstract convex analysis to the study of constraine...
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ژورنال
عنوان ژورنال: Journal of Applied Probability
سال: 2010
ISSN: 0021-9002,1475-6072
DOI: 10.1239/jap/1294170511