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WROCŁAW UNIVERSITY
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TECHNOLOGY

Contents of PMS, Vol. 10, Fasc. 2,
pages 223 - 245
 

ON SOME STOPPING AND IMPULSIVE CONTROL PROBLEMS WITH A GENERAL DISCOUNT RATE CRITERIA

Łukasz Stettner

Abstract: Optimal stopping and impulsive control problems are studied with a general, depending on the state of the process discount rate g. The criteria considered and results obtained are closely related to the type R(g) of a discounted semigroup (T g). t For the case where R(g) < 0, the continuity of value functions and the form of optimal stopping and impulse strategies corresponding to the ordinary discounted functional are shown. The case R(g) = 0 is studied under the assumption of uniform ergodicity and existence of a bounded positive eigenfunction for (Tg), t and then the ergodic stopping and impulsive control with long run average cost problems are solved.

2000 AMS Mathematics Subject Classification: Primary: -; Secondary: -;

Key words and phrases: -

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