Optimal stopping problems for differential equations perturbed by a poisson process

K. H. Wickwire

Naval Research Logistics Quarterly, 1981, vol. 28, issue 3, 423-429

Abstract: We investigate a class of optimal stopping problems for dynamical systems described by one‐dimensional differential equations with an additive Poisson disturbance. The rate of the disturbance may depend upon the current state of the system. A dynamic programming equation for the optimal stopping cost is derived along with conditions which must be met at the boundary of the optimal stopping set. These boundary conditions depend upon whether or not the stopping set may be entered by smooth motion.

Date: 1981
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https://doi.org/10.1002/nav.3800280307

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Persistent link: https://EconPapers.repec.org/RePEc:wly:navlog:v:28:y:1981:i:3:p:423-429

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