1 citations · 1 across the 1 of their papers we have counts for
2 papers
math.OC2023★ 1 cited
Asymptotics of impulse control problem with multiplicative reward
Damian Jelito, Łukasz Stettner
We consider a long-run impulse control problem for a generic Markov process with a multiplicative reward functional. We construct a solution to the associated Bellman equation and…
math.OC2016★ 1 cited
Undiscounted optimal stopping with unbounded rewards
Jan Palczewski, Lukasz Stettner
We study optimal stopping of Feller-Markov processes to maximise an undiscounted functional consisting of running and terminal rewards. In a finite-time horizon setting, we extend…