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  • Search: subject:"Non-uniformly ergodic Markov processes"
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General Markovian discounting 1 Infinite horizon 1 Non-uniformly ergodic Markov processes 1 Optimal stopping 1 Total reward 1
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Palczewski, Jan 1 Stettner, Łukasz 1
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Stochastic Processes and their Applications 1
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Infinite horizon stopping problems with (nearly) total reward criteria
Palczewski, Jan; Stettner, Łukasz - In: Stochastic Processes and their Applications 124 (2014) 12, pp. 3887-3920
We study an infinite horizon optimal stopping Markov problem which is either undiscounted (total reward) or with a general Markovian discount rate. Using ergodic properties of the underlying Markov process, we establish the feasibility of the stopping problem and prove the existence of optimal...
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