58 citations · 98 across the 10 of their papers we have counts for
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math.OC2016★ 17 cited
Impulse control maximising average cost per unit time: a non-uniformly ergodic case
Jan Palczewski, Lukasz Stettner
This paper studies maximisation of an average-cost-per-unit-time ergodic functional over impulse strategies controlling a Feller-Markov process. The uncontrolled process is assumed…
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…