Optimal switching for two-parameter stochastic processes

Teruo Tanaka

Stochastic Processes and their Applications, 1991, vol. 38, issue 1, 135-156

Abstract: This paper treats two-parameter optimal stopping and switching problems for continuous time two-parameter stochastic processes indexed by . We shall introduce switching costs in addition to the running cost process and the terminal cost process, and construct optimal tactics; the rules of switching and stopping which minimize the expected total discounted cost including switching costs. We also specialize our general results to the case of bi-Markov process.

Keywords: two-parameter; stochastic; process; strategy; tactic; switching; cost; bi-Markov; process (search for similar items in EconPapers)
Date: 1991
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