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Optimal Starting-Stopping Problems For Markov-Feller Processes, Jose-Luis Menaldi, Maurice Robin, Min Sun

Mathematics Faculty Research Publications

By means of nested inequalities in semigroup form we give a characterization of the value functions of the starting-stopping problem for general Markov-Feller processes. Next, we consider two versions of constrained problems on the nal state or on the final time. The plan is as follows:

1. Introduction
2. Nested variational inequalities
3. Solution of optimal starting-stopping problem
4. Problems with constraints

References.