Optimal switching problem for countable Markov chains: average reward criterion

Alexander Yushkevich

Mathematical Methods of Operations Research, 2001, vol. 53, issue 1, 24 pages

Abstract: Optimal switching we consider is the following generalization of optimal stopping: (i) there are a reward function and a cost function on the state space of a Markov chain; (ii) a controller selects stopping times sequentially; (iii) at those times the controller receives rewards and pays costs in an alternating order. In this paper we treat the case of a positive recurrent countable Markov chain and the average per unit time criterion. We find an optimal strategy and the maximal average gain in terms of the solution of a variational problem with two obstacles, known also in connection with Dynkin games. Copyright Springer-Verlag Berlin Heidelberg 2001

Keywords: Key words: Positive recurrent chain; alternating costs and rewards; stopping times; average criterion (search for similar items in EconPapers)
Date: 2001
References: Add references at CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
http://hdl.handle.net/10.1007/s001860000102 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:mathme:v:53:y:2001:i:1:p:1-24

Ordering information: This journal article can be ordered from
http://www.springer.com/economics/journal/00186

DOI: 10.1007/s001860000102

Access Statistics for this article

Mathematical Methods of Operations Research is currently edited by Oliver Stein

More articles in Mathematical Methods of Operations Research from Springer, Gesellschaft für Operations Research (GOR), Nederlands Genootschap voor Besliskunde (NGB)
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().