Nested variational inequalities and related optimal multiple startingstopping problems for symmetric Markov processes
Teruo Tanaka · Journal of Information and Optimization Sciences · 2005
This paper is concerned with optimal starting-stopping problems for continuous time symmetric Markov processes with multiple rules. In order to characterize an optimal value function and construct an optimal starting-stopping rule, nested variational inequalities in terms of Dirichlet forms associated with the symmetric Markov process are introduced.